It's because I'm stubbornly still on XP (I am NOT moving to Vista, 7 or 8 any time in the future!) so I needed an update to enable SDXC cards, otherwise it just gets stuck saying "card isn't formatted, do you want to format it? (yes) Oh, formatting failed" etc.
In case anyone else has problems like this the update is KB955704, available from link below.
This means I can now just pull the card from my Z2 and stick my music etc. on from there, and pull the photos etc off from there.
It seems even when connecting to PC via the phone's USB lead there are problems until this update is in - I could see the files but not edit them, move, copy, etc etc which is what was REALLY confusing me.
Sorry if I seemed a bit noobie about that. I've actually been flashing my phones, tinkering etc for years and years but I guess I've not had an SDXC card before so didn't realise it wouldn't play ball.
MUCH better now - I don't really care what the KitKat limitations are now I can just transfer files "properly".
Cheers for the explanation about KitKat though, that is very useful.
So I wasted a day transferring files via Dropbox when a poxy Windows update would have solved it. You live and learn. I hope I can save someone else the hassle!