...The dump files yesterday, weren't causing problems at all, apart from when the dump file was still within the C:\Windows folder. I moved the dump file to my Desktop, and that solved yesterday's access denied problems.
Today, I tried the same procedure and even ran Windows Explorer as a Administrator, both these methods didn't work. As a result, I decided to use ProcMon to get a trace on what was happening, I haven't really used ProcMon much so if want to run it again to gather more information, then please say so.