If this is a fairly new CD, I suspect you have run into a form of copy protection. If you have a DOS boot diskette from a previous edition of Windows, and a DOS file manager utility, such as Xtree Gold, you might be able to copy those files. I suspect that this is not a music CD, but a game CD - music CDs don't usually have WAV files on them.
Have you tried copying the entire CD to your HDD with Explorer - not dragging and dropping, but using keyboard commands?
Are you doing this "dragging" with the RIGHT mouse button - not left? I just put in a music CD, and easily dragged a .cda music file to a \temp folder on the HDD. You must drag with the right mouse button to do that.