Also check length of path and filename, in Windows there is a 255 max character limit
so trying to move a file with a with very long directory and file name to C:\Documents and Settings\User Name XYZ\My Documents\Shareaza Downloads, you could reach that limit.
Change default save directory in download setting to something short like C:\XYZ then try to move file. I have only hit this problem with a large Bit Torrent download that had many files in it and the move extracts the files.