Other quirks I've found with Vista are:
* Taking stupidly long to extract files, however big or small, from Winzip.
* Not being able to click on links in Windows Live Messenger - works fine in XP.
* Deleting/Moving/Copying single files sometimes done in an instant (a la XP) - sometimes sits there for 2 minutes.
* Sometimes selecting files in "open" dialog boxes and pressing OK to select results in the dialog box freezing, with all the buttons dimmed - you have to select it again to get the file you want (doesn't really make sense, but then it's hard to explain)
Anyway back to your issue, when you drag the file to the desktop and nothing appears, what happens if you refresh the desktop? Does it show up then?