Unable to copy desktop files to external drive on Windows 10...

I am trying to get a new computer set up for a friend.  I have done this many times for other people, but something is wrong with this one.  Every time I try to copy the desktop files to an external drive (all of them are PDFs, with one image), nothing happens.  I drag and drop them - nothing copies.  There are no errors, either.  I have tried two different externals - both formatted exFAT.  There is literally no reason for this to be happening.   If anyone know what to check, your input will be greatly appreciated.  Thanks in advance.

P.S.  Too bad that Microsoft isn't smart enough to create a way to move the files easily between computers WITHOUT needing a Microsoft account to do so.  Apple had had them beat at this for many, many years now.  I can literally fire up a new Mac, and transfer all of my files - INCLUDING applications - in less than 2 hours. Pretty sad...