Hello Matt,
Actually, YES, I do have full control over the folder and also I am the owner.
While searching on web I got these links, they have similar problem, like I am facing. But do not have solution. Those are on Vista but the description matches with my problem.
http://forums.techarena.in/vista-help/935508.htm
http://stackoverflow.com/questions/490105/destination-folder-access-denied-you-need-permission-to-perform-this-action
Is it a bug?