Unable to Copy itunes Playlists onto a USB

Hi - I am trying to copy (drop and drag) my itunes set playlists from my PC to my USB. When I copy the folder (or individual playlists), a red circle with a red line through it appears when I attempt to leave the itunes page, hence the action is not completed. I have checked several forums/posts etc, but no actions have prevailed. Any suggestions would be appreciated?

Also on my PC where itunes library is stored, I can access all the music I have downloaded, but not the playlists. Would playlists normally be stored on my PC too?

Thanks in advance!