I'm confused.
Exactly what is it you're trying to copy and paste? A section of text, a picture, or what?
If, for example, you're trying to copy some text from a web page you start by following AlBags' method. (Highlight, right click and select 'copy' is my preferred method).
You can't paste that text directly to your desktop. It needs to be in a file which holds text (e.g. in a Word document). Open an appropriate program (e.g. Word, Notepad or WordPad) with a blank document. Right click in that document, select 'paste' and then save the document).
Chris