I tried it on Windows 7 and it worked fine.... I opened Explorer, browsed to C:\Windows\Fonts . I was then presented with the same view I would see in Control Panel | Fonts. Here I was able to select multiple fonts and then with the Shift key held down moved the mouse to the desktop. The tool tip changed to Copy..
Actually I lie... It made NO difference whether or not I had the shift key held down; the tool tip shows COPY not MOVE.
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