Just drag the file you want to copy to the lower right corner of the screen -- the Show Desktop button. Hold and wait a moment; everything on the desktop will minimize.

Click once on each of the files you want to move to the virtual desktop. Once the files are highlighted, right-click and select "Copy." Open the virtual desktop and log in, if prompted.

To transfer files from Remote Desktop to Windows 11 or Windows 10, you need to follow the aforementioned guide. As said earlier, you need to use the Local devices and resources.