The alias can't be opened because the original item can't be found - After USB Flash Drive transfer

I've seen a couple of threads about this message, but none dealing with my simple issue:

I get this message: "The alias can't be opened because the original item can't be found" -- AFTER TRANSFERRING THE FILE IN QUESTION VIA FLASH DRIVE.

I thought, maybe the "original item" hadn't been completely copied from the drive, so I tried opening the file again this time with the drive still plugged into the laptop--but again, the message came up and I couldn't open it.

What's the deal?

The files I'm transferring:

• a 1.2GB MKV file of a movie I downloaded, which I had no trouble viewing on my desktop
• a 105MB application

(btw, the application is called "VLC", which is a file playing app that works on my desktop, and I want it on my laptop so that I can play movie files like .mkv, which is the other file I'm transferring...but that doesn't make any difference, I think. No, I can't just download the movie and the app right onto the laptop...I don't have wifi right now...='[...)