Where are the files saved to: C:\Users\<YourUserName>\Downloads folder?

I can only think that you may not have the authority (your user name is DOES NOT administrative rights on the computer) to move them. This is likely if you have Windows 10 Home/Basic (not the Pro, or higher version). With those lower versions, I'm not even sure that you can take ownership of them (which really makes them difficult to work with when I'm working on a PC with OS problems).

You might have better luck copying them to an external HDD if you use the Extended Download Service to download the exe's direct to the C: root directory (not recommended, but should work), or create a new folder just to download them to, like say C:\CaptainSim (recommended) - You need to save them in a place where the OS won't block you.

OR. You might even be able to download them directly to where you want them to be saved on the external HDD. For this, you have to make sure that when downloading from the browser, it ASKS you where you want to save the files to. Mine is always set to that so I can save everything to where I WANT them saved, and not always in the C:\Users\<YourUserName>\Downloads folder.