I've used EAC to do this. Instead of ripping individual tracks, tell it you want to "Copy Image & CUE Sheet." That will make a single WAV file of the entire CD, then you can convert to MP3 from that.

Drag the files into a folder on your hard drive or Option drag (e.g. copy) them to your desktop. Does that work? I suspect you are dragging them to your desktop, and the machine thinks you are trying ...