Using portable thumb drive to transfer music?

I live in an area that does not have high speed internet access (insert redneck joke here). I do, however, have high speed access at my office. I had the brilliant idea to download music at work, and then transfer them via thumbdrive to my library at home. The problem I am having is that by "dragging and dropping" I am only transferring shortcuts rather than the actual file. Am I doing something wrong, or can files not be transfered in this manner?

In the PC world this would just work.... (Oh the irony!)
On a Mac try Command-C to Copy (or Command-X to Cut) the selected files from their original location then Command-V to paste on the thumb drive. I believe you can also use Option-Drag & Drop to get a menu of possible options.
tt2

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