One of the key distinctions in Google Drive is between My Drive and Shared with Me. One metaphor that is very helpful to distinguish between these is that My Drive is your house and Shared with Me is your mailbox. When you get mail delivered to your house, it goes to your mailbox, not to your bedroom. Imagine if you went away on vacation, and when you came back there were piles and piles of unwanted letters all over your bed.
Similarly, Google does not want your My Drive to get cluttered up with files that you don’t want. When someone shares a file with you, it shows up in Shared with Me. Then you have to check it and click “Add to My Drive”. Think of it like bringing in your mail.
Once you have added the file to your My Drive, then you can move it to whatever folder makes sense to you. Be careful though if someone has shared a folder with you instead of a file. If someone shares a folder with you, and you have edit access, then make sure you don’t move any files out of the folder.