When you say you "paste" it to you Desktop:
Did you Save it from Monarch to the Destop?
Did you, through Windows Explorer, Send it to the Desktop?
Did you, through Windows Explorer, Copy and Paste it to the Desktop?
Did you Drag and Drop it to the Desktop?
I'm not able to recreate this problem using any of the steps above.
Do the files reside on your Local Machine? or, Are they on the Network somewhere?
There are two ways to check the Paths to the files contained in the Project.
One way is to look at the Project Infomation in Monarch and the other is to open the Project file in Notepad.
I suggest checking the Paths both ways to see if there are any errors.
If the files reside somewhere on the Network, make sure the UNC path is being used for the files, not Mapped Drives.
If you are still having a problem with this, please feel free to contact me at 978-441-2200
Datawatch Tech Support