It might occur to you that your favorite Media Player (any other program might do the same) is not able to accept files added per Drag and Drop.
The most probable time for this behavior is right after install, when the installer starts the program the first time.
The installer of course has elevated rights for setup purposes and the program itself, too.
In this case Windows Vista + 7 forbid the drag and drop functionality for security reasons.
In most cases it is enough to just close and start the program again, now in non elevated mode.
You can reproduce this behavior by simply starting a program with elevated rights.