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
Strangely, I only get shortcuts when dragging files from Chrome.
Anyway, in case Chrome does the drag & drop with virtual sources, that is, it downloads the file and generates the content on drag & drop completion, you have to implement shell interface IDropTarget. I get the feeling the file contents might be transferred via IStream which is not supported by .NET Drag&Drop.
Maybe this http://msdn.microsoft.com/en-us/library/bb776904%28VS.85%29.aspx#copying and this Drag and drop virtual files using IStream should get you on the right path.