If you have started Visual Studio using the Run as Administrator
option (which is common to allow you to debug using the Attach to Process
option) then the issue is the mismatch of permissions between the Visual Studio instance and the Windows Explorer instance, which will be running as the logged in user.
Try running Visual Studio as the logged in user and it will work, or right click on the Media Library folder and use the Upload Media option.
Alternatively, drop your files into the /upload
folder of the website so that they are uploaded automatically using the Media File Watcher.
EDIT:
Make sure you are connection is set up to use the Hard Rock Web Service and not the Good Old Web Service since the Upload Media option will not be available using the legacy connector.