When you drag a file to another location, Windows sometimes moves the file and other times copies it. And when you drag an application, Windows only makes a shortcut. Why? There's a method in this madness. Dragging moves a file if it's dropped to a point within a single disk, but copies it if it's dragged to a different disk. Dragging an application usually creates a shortcut, because moving an application out of its installed folder may cause it not to function.
If you need to move an app, hold down Shift as you drag to force a move, and hold down Ctrl to force a copy. You can press these keys anytime during the drag as long as you haven't released the mouse button. It may be simpler just to get in the habit of dragging with the right mouse button. When you drop the file, you'll see a pop-up menu that lets you choose to copy, move, or make a shortcut.