I am trying to save files on an external memory but when  drop the file on the memory icon does not aloud me to do it, is this normal?

do all the external memorys work on the macbookair

Your problem may be that the external drive has not been formatted for your MBA.  Open Disk Utility>Erase and format it to Mac OS Extended (Journaled).  Note that this will ERASE ALL DATA on that device.
Ciao.

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