Do other files move from the desktop ok to this new location? Does highlighting the file icon then using a CTRL+X keyboard command (same as right click / cut) work. What are the file properties? Read only? File size? (Not that this should matter.) Is the file size smaller than where you want to move it?
Two more options...
1) rename the .exe extension to something else and try again.
2) try only to copy the file to the new place. Then delete the original.
In any case the file should move without all this hastle.