Sharing from PC to Mac

It seems that when i go to drag some audio files from my PC via my Mac to either a designated folder or my desktop they appear... but then they disappear. I'm not really sure what's going on... I've done this a hundred times probably, and this is the first time that I've encountered such a problem. Any ideas/suggestions as to why?!?

What i find exceptionally odd is that when I open up IE on my PC and type //themac in the address field it will allow me to drag the files to the Mac via the PC. It's really odd... but I'm open to all comment/suggestions, so please let me know what you think is going on and causing this seemingly absurd problem. Thanks...