I doubt that the program's directory is the correct place to copy&paste audio files.
When do you get the error message as I doubt that this actually a MP3tag message - MP3tag does not search.
How ist the Sandisk treated by the OS? As a media device or as drive?
Does any other program have access to the files? Does the WIndows Explorer have access to the files?
How did the files get onto the Sandisk in the first place - surely there must be an original that can be edited, right?
In general: I doubt that this is a MP3tag problem but has to do with the way your device connects to and is recognized by the PC.
Perhaps this thread can help:
Using MP3Tag with Zen X-Fi
Or, on a completely different level: have you set a filter?