Did you enable access to disc drives?
- Click Start, point to All Programs (or Programs), point to Accessories and then click Remote Desktop Connection.
- Click Options, and then click the Local Resources tab.
- In the Local devices and resources section click More, and check the Drives checkbox (expand as needed) then click OK.
Also note this...
"Due to security restrictions, you can't copy a file from a remote computer to the root folder of a drive on this computer unless you're logged on using the default computer administrator account."