After closing this second dialog box, your media file starts playing in Media player.

Actually this problem occurs when "Copy To" and "Move To" options are added in file/folder context menu. It might be done by a tweaking software or you added it intentionally.

You just need to remove these 2 options from context menu to solve this problem.

Follow these simple steps:

1. Type regedit in RUN dialog box and press Enter. It'll open Registry Editor.

2. Now go to following key:

HKEY_CLASSES_ROOT\AllFilesystemObjects\shellex\ContextMenuHandlers\

3. Remove Copy To and Move To keys under it.