If you could edit your question to give us some more information, I'll edit my answer here to give you a more detailed response. What operating system are you using? Use this to find out.
What kind of disk are you trying to save your files to - a CD, a DVD, your hard drive, an external hard drive, etc? Are you trying to save your files from within a program like Microsoft Word, or are you using Windows Explorer to try to move your files to a new location? (Windows explorer might look like either this screen or this one.)
If you could take a screenshot and upload it to a website to show us what's happening, that would be very helpful in diagnosing your problem. Press the Print Screen (Print scrn) button on your keyboard, then open the program Paint. Go to Edit --> Paste. Go to File --> Save, and save the picture to your Desktop, then upload it to a site like imageshack, and post the link here so we can see what your screen looks like when you've having problems.]