I tried to duplicate your problem on my own system so I could try to help you figure it out. All of my Kmail files copied without a problem onto my FAT32 usb stick. When I've had problems copying or moving files in the past, I have always received error messages which told me why it failed to copy--usually permission problems. Does your system give any error messages when you try to copy the fles? Also, this post has some good step by step information about priveleges if that is what the problem is: http://worldforum.pardus-linux.nl/index.php/topic,917.0.html
Hopefully, this information will help you.