You can write a browser helper (for IE) in C++ or Delphi that retrieves the current drag/drop handler from IE and installs its own handler. When a message is dragged from Outlook, you can save it to a temp folder, then invoke the original drag/drop handler. After the handler returns, the temporary file can be deleted.
I have done this in the past, and it works fine. You might want to looks at the Google Gears source code (no longer supported) that intercepts drag/drop in IE.
