Its not windows 10, its your phone, (but not in a way you have to return it), plug your phone in to USB. It starts to charge. Unlock your phone and swipe down opening up your notification ON THE PHONE. You will see a notification that your phone is charging. Tap that to open it up. You will have options of what to choose when connected to the computer. Once you select transfer files your phone will appear on the computer. Open This PC (On the computer), you will see all the drives and your phone will appear as its own drive. Open the phone drive. You will then see (device or phone storage and SD card storage). You can open what ever one you choose to find the folder you want to put your files into.
I have done this several times now. The 1st time it kinda stumped me as this is an unusual approach to accessing the phone storage. This might be a new Marshmallow thing, I don't know. But this is how it works on my computer. Easy Peasy