PS. I also tried drag-and-dropping to Photoshop, and it doesn't work either.
I did more research online, and the more I research this, the more it seems that the LIGHTROOM DRAG AND DROP functionality works on MAC but not on PC...
If it is the case, this would be a major annoyance.
Some people said this feature worked on PC in Windows Vista.
I tried running LR in compatibility more (Vista SP2), but this did not fix the issue.
I am starting to wonder if this is a problem with LR running on WINDOWS x64 systems... (I am running WIN7 x64)