This is a network control message and just another one of those "are you sure?" pop ups that Microsoft loves so much... clicking continue should allow you to copy the file then you can come back after and delete it if you don't want two the same.
If continue doesn't work then it could have a link to some other account (being an networked drive and all) so change the "everyone" access to full and that lets you override ANY blockage... this is a major hole to have open on a network computer so go back and reset the "everyone" permissions after or on your own head be it.
Thank you! I can give that a try. Well, it would be FAT32, but I wanted to transfer files larger than 4GB so I formatted it to NTFS. I also use a Mac with the same drive and I think I may have originally formatted it to NTFS from FAT32 with my Mac. Would that have made a difference?