Google Chrome has a handy feature where I can click a download link and drag it into a Windows Explorer window, and then drop. After dropping, Chrome then downloads the fil
I've pulled kilometers of hair out of my head myself regarding weird drag-drop behaviour. Spy++ as mentioned by sixlettervariables might be a good idea. Another would be to take a look at the discussion from one of my Q/As here at SO:
Drag and Drop between Instances of the same Windows Forms Application
From my own experience I seem to remember that drag/drop from a browser is a security issue and thus handled differently. Hope this helps.
EDIT:
Maybe this answers your question:
http://www.vbforums.com/showthread.php?t=529211