I've got Vista, but I think I know what you're talking about.
Vista seems to have "security" features attached to files in the program files, thus preventing you from editing them within the folder the file was originally placed... Unless you're using the proper program, that is.
Try this: when opening FRED2, copy the mission file you want by right click, blah, blah, blah, then, without leaving the "open" window, select your desktop through the "change directory" window. Paste the file to your desktop and close the "open" window. Refresh the desktop if necessary, and you should see your file.