It sounds like you're trying to move the music files into a folder that's too deeply nested, so that their file names, including the names of all the folders they're nested in, end up being longer than 260 characters (a Windows limitation).
Try copying them into a folder that's higher up in the directory hierarchy so that the resulting filenames are shorter. For example, instead of copying them into:
F:\Diannes Files\Christmas 2012\Music\Christmas Music\Vocals\Bing Crosby
try copying them into: