MacBookPro doesn't let me do anything with thumb drives/etc

Hello everyone.
In Windows such simple tasks as deleting files from memory sticks/thumb drives, moving files back and forward/ etc. is an easy task which every kid can do. However, Mac makes another big deal out of nothing even here.
I have an SD memory stick from my camera and a thumb drive. Photos need to be moved from the first one (SD) to another (thumb). Easy enough? Yeah, I'd think so. Mac has another opinion about that.
It would not let me do ANYTHING with the thumb drive and/or SD. I tried all possible actions I could think of: move the files to the laptop first, copy-paste them, drag and drop, delete old files from the thumb drive (thinking that it doesn't have enough room for the new ones). Nothing. There is one answer: can't proceed with the operation, files can't be deleted blah blah blah. I tried some other memory sticks I had, thinking that the ones I originally used might had some problems. Nope, seems like Mac just don't like them all. Digging though System Preferences didn't bring much luck, I just can't find the proper settings in order to try to change them.
Please help, it's just driving me nuts, I need to return the thumb drive with photos first thing tomorrow.
I'm just so mad that I spent over $2000 on a laptop that makes a huge deal out of just anything! :'(

Nothing that you report is normal with Macs. You have some sort of unusual problem on your machine. Instead of "blah blah blah," tell us exactly what error message(s) you're seeing and exactly what attempted actions produce each one..

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MacBookPro doesn't let me do anything with thumb drives/etc

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