Never heard of this before.
It should never happen.
My guess is your Windows installation is damaged. If the .cdg files are getting damaged when you move them, Windows is doing it... not Microstudio.
I'd be very afraid that my computer was compromised if I had this occur to me.
You might try reinstalling Windows and see if it reports any errors.
Just a warning: be sure you don't have any critical files on the same drive PARTITION (typically C drive) as they could be lost when reinstalling if Windows is bad.
I lost everything on my C drive when I had a damaged Windows installation (used for 2 years with no warnings). I was installing an upgrade to a progam I used weekly and disc space ran out. That should have generated an error message, not destroy crucial Windows files.
Sounds like what you have to me. 
Luckily I had most of my important stuff on D and E partitions, which I was able to copy to another drive for safety. We had to low-level reformat the entire drive (with the bad Windows) to use it again.