All objects in exchange can be mailed to. An external folder, such as the one you mentioned, cannot.
If want to "place" items into a folder you have several options.
If it's just a few items you can right click on the file object (mail or document) and select Export to a file.
If it's many items you might want to import them into MS Access. All MAPI objects are available for importing through a file type selection. At least in Access 2000.