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
Have you considered using Spy++ to see what messages are sent from Chrome to Windows Explorer? Spy++ has message logging which has helped me in the past with strange behavior. You can enable logging of WM_DROPFILES, etc.
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.