Drag to open - file gets copied to 'downloads' folder (?)


I could not find help on this issue.
I am running 3ds max 2017. When I drag and drop a file stored in a server folder, in order to open it in max, the file is copied to my downloads folder, then copied.

I cannot drag and open the file directly from the server.

I did not find any file preferences setting regarding this issue. What am I missing?
Thanks in advance