This only happens in the following circumstances
1) You are copying/moving a folder that has sub-folders in it
2) You have Outlook 2003 with SP2
3) You are copying/moving FROM a shared mailbox TO your own mailbox or a pst file
Several solutions
1) If there are only a few sub folders - you can just tell the user to do this:
Move the sub-folders first into their mailbox
Then they will be able to move the main folder
Then they can put all the sub folders back into the main folder
2) If there are LOTS of sub folders:
Create a new profile on that PC to open the shared mailbox as the main one. Then open outlook and go into that profile. Then Tools , email accounts, next, change, more settings , advanced, and add in the users personal mailbox. Now you will be able to move the folder from the shared mailbox into the personal mailbox. Finally remove this temporary profile.
You could always do this from your desk if you get the users permission to acces the mailboxes and find out what folder needs moving. This is probably the easiest and quickest of all options.
Other work arounds - both a bit of a pain:
3) Goto a PC that has an older version of outlook (2003 without SP2) and move the folder into a pst file then transfer the pst file back to the original PC, then you should be able to move the folders
4) Uninstall office & re-install without the service pack!