I find the easiest way to move files from my LW library to a folder on my desktop is a simple drag and drop.
To make it very simple, I minimise LW and put the target folder on my desktop. I then maximise LW and slide it across the desktop until I can see the target folder, click on the target file to highlight it then click on it again and drag it to the target folder. With a large file there can be a few seconds for the target file to be copied into the folder.
If you are moving the file because you want nobody else to have access to it, then you simply delete it from your LW library after copying it into the folder..