Do you want to drag from Windows File Explorer or Windows Internet Explorer?  For the latter you need a third-party drag and drop component such as Raize Drag and Drop. For the former you need to Set DragAcceptFiles to true and then handle the WMDROPFILES event to obtain the dropped filenames.
Drag From Windows File Explorer 
unit Unit1;
interface
uses
  Winapi.Windows, Winapi.Messages, System.SysUtils, System.Variants,
  System.Classes, Vcl.Graphics, Vcl.Controls, Vcl.Forms, Vcl.Dialogs,
  Vcl.ExtCtrls, hyieutils, iexBitmaps, hyiedefs, iesettings, imageenview,
  ieview, iemview, Vcl.ComCtrls;
type
  TForm1 = class(TForm)
    ImageEnMView1: TImageEnMView;
    ImageEnView1: TImageEnView;
    Splitter1: TSplitter;
    StatusBar1: TStatusBar;
    procedure FormCreate(Sender: TObject);
    procedure ImageEnMView1ImageSelect(Sender: TObject; idx: Integer);
  private
    { Private declarations }
    AFilePath: string;
    AFilename: string;
    procedure WMDROPFILES(var Message: TWMDropFiles); message WM_DROPFILES;
  public
    { Public declarations }
  end;
var
  Form1: TForm1;
implementation
{$R *.dfm}
uses Winapi.ShlObj, Winapi.ShellAPI;
procedure TForm1.FormCreate(Sender: TObject);
begin
  { Accept dragged files - this is important }
  DragAcceptFiles(Handle, True);
  ImageEnMView1.SetModernStyling(False, 200, 150);
  ImageEnView1.Blank;
end;
procedure TForm1.ImageEnMView1ImageSelect(Sender: TObject; idx: Integer);
var
  iBitDepth: Integer;
  iColors: string;
begin
  ImageEnMView1.CopyToIEBitmap(idx, ImageEnView1.IEBitmap);
  ImageEnView1.IO.Params.Assign(ImageEnMView1.MIO.Params[idx]);
  ImageEnView1.Update;
  StatusBar1.Panels[0].Text :=
    ExtractFileDir(ImageEnMView1.MIO.Params[idx].FileName);
  StatusBar1.Panels[1].Text :=
    ExtractFileName(ImageEnMView1.MIO.Params[idx].FileName);
  StatusBar1.Panels[3].Text := 'Frame: ' + IntToStr(idx + 1);
  StatusBar1.Panels[4].Text := IntToStr(ImageEnMView1.MIO.Params[idx].Width) +
    ' x ' + IntToStr(ImageEnMView1.MIO.Params[idx].Height);
  iBitDepth := ImageEnMView1.MIO.Params[idx].BitsPerSample *
    ImageEnMView1.MIO.Params[idx].SamplesPerPixel;
  if iBitDepth = 32 then
    iColors := 'RGBA' + IntToStr(iBitDepth) + '-Bit'
  else
    iColors := 'RGB' + IntToStr(iBitDepth) + '-Bit';
  StatusBar1.Panels[5].Text := iColors;
end;
procedure TForm1.WMDROPFILES(var Message: TWMDropFiles);
{ Handle opening files from Windows File Explorer Drag & Drop. }
const
  iMaxLength = 255;
var
  i: Integer;
  iFileCount: Integer;
  iDroppedFileName: array [0 .. MAX_PATH] of Char;
  iDroppedFilePath: string;
  iFileName: string;
  iFrameCount: Integer;
  iIndex: Integer;
  iBitDepth: Integer;
  iColors: string;
begin
  inherited;
  iFileCount := DragQueryFile(message.Drop, $FFFFFFFF, nil, 0);
  if iFileCount = 1 then
  begin { Single file dropped }
    DragQueryFile(Message.Drop, 0, iDroppedFileName, MAX_PATH);
    iDroppedFilePath := iDroppedFileName;
    if FileExists(iDroppedFilePath) then
    begin
      iFrameCount := IEGetFileFramesCount(iDroppedFilePath);
      if iFrameCount = 1 then
      begin
        { Single frame file }
        AFilePath := iDroppedFilePath;
        AFilename := ExtractFileName(iDroppedFilePath);
        iIndex := ImageEnMView1.AppendImage(AFilePath);
        ImageEnMView1.ImageBottomText[iIndex] := AFilename;
        ImageEnMView1.ImageInfoText[iIndex] :=
          IntToStr(ImageEnMView1.MIO.Params[iIndex].Width) + ' x ' +
          IntToStr(ImageEnMView1.MIO.Params[iIndex].Height);
        ImageEnMView1.SelectedImage := iIndex;
        StatusBar1.Panels[0].Text :=
          ExtractFileDir(ImageEnMView1.MIO.Params[iIndex].FileName);
        StatusBar1.Panels[1].Text := AFilename;
        StatusBar1.Panels[2].Text := 'Frames: ' + IntToStr(iFrameCount);
        StatusBar1.Panels[3].Text := 'Frame: ' + IntToStr(iIndex + 1);
        StatusBar1.Panels[4].Text :=
          IntToStr(ImageEnMView1.MIO.Params[ImageEnMView1.SelectedImage].Width) + ' x ' +
          IntToStr(ImageEnMView1.MIO.Params[ImageEnMView1.SelectedImage].Height);
        iBitDepth := ImageEnMView1.MIO.Params[ImageEnMView1.SelectedImage].BitsPerSample *
          ImageEnMView1.MIO.Params[ImageEnMView1.SelectedImage].SamplesPerPixel;
        if iBitDepth = 32 then
          iColors := 'RGBA' + IntToStr(iBitDepth) + '-Bit'
        else
          iColors := 'RGB' + IntToStr(iBitDepth) + '-Bit';
        StatusBar1.Panels[5].Text := iColors;
      end
      else
      begin
        { Multiple frame file }
        ImageEnMView1.Clear;
        iFileName := iDroppedFilePath;
        for i := 0 to iFrameCount - 1 do
        begin
          ImageEnMView1.AppendImage(iFileName + IEM_Path_Index_Delimiter +
            IntToStr(i));
          ImageEnMView1.ImageBottomText[i] := ExtractFileName(iFileName);
          ImageEnMView1.ImageInfoText[i] := 'Frame: ' + IntToStr(i + 1);
        end;
        ImageEnMView1.SelectedImage := 0;
        StatusBar1.Panels[0].Text :=
          ExtractFileDir(ImageEnMView1.MIO.Params[ImageEnMView1.SelectedImage]
          .FileName);
        StatusBar1.Panels[1].Text := ExtractFileName(iFileName);
        StatusBar1.Panels[2].Text := 'Frames: ' + IntToStr(iFrameCount);
        StatusBar1.Panels[3].Text := 'Frame: ' + IntToStr(ImageEnMView1.SelectedImage + 1);
        StatusBar1.Panels[4].Text :=
          IntToStr(ImageEnMView1.MIO.Params[ImageEnMView1.SelectedImage].Width) + ' x ' +
          IntToStr(ImageEnMView1.MIO.Params[ImageEnMView1.SelectedImage].Height);
        iBitDepth := ImageEnMView1.MIO.Params[ImageEnMView1.SelectedImage].BitsPerSample *
          ImageEnMView1.MIO.Params[ImageEnMView1.SelectedImage].SamplesPerPixel;
        if iBitDepth = 32 then
          iColors := 'RGBA' + IntToStr(iBitDepth) + '-Bit'
        else
          iColors := 'RGB' + IntToStr(iBitDepth) + '-Bit';
        StatusBar1.Panels[5].Text := iColors;
      end;
    end;
  end
  else { Multiple files dropped }
  begin
    for i := 0 to iFileCount - 1 do
    begin
      { Get filenames dropped }
      DragQueryFile(Message.Drop, i, iDroppedFileName, iMaxLength);
      iFileName := iDroppedFileName;
      ImageEnMView1.InsertImage(i, iFileName);
      ImageEnMView1.ImageBottomText[i] := ExtractFileName(iFileName);
      ImageEnMView1.ImageInfoText[i] :=
        IntToStr(ImageEnMView1.MIO.Params[i].Width) + ' x ' +
        IntToStr(ImageEnMView1.MIO.Params[i].Height);
    end;
    ImageEnMView1.SelectedImage := 0;
    StatusBar1.Panels[0].Text :=
      ExtractFileDir(ImageEnMView1.MIO.Params[ImageEnMView1.SelectedImage]
      .FileName);
    StatusBar1.Panels[1].Text :=
      ExtractFileName(ImageEnMView1.MIO.Params[ImageEnMView1.SelectedImage]
      .FileName);
    StatusBar1.Panels[2].Text := 'Frames: ' + IntToStr(ImageEnMView1.ImageCount);
    StatusBar1.Panels[3].Text := 'Frame: ' + IntToStr(ImageEnMView1.SelectedImage + 1);
    StatusBar1.Panels[4].Text := IntToStr(ImageEnMView1.MIO.Params[ImageEnMView1.SelectedImage].Width) +
      ' x ' + IntToStr(ImageEnMView1.MIO.Params[ImageEnMView1.SelectedImage].Height);
    iBitDepth := ImageEnMView1.MIO.Params[ImageEnMView1.SelectedImage].BitsPerSample *
      ImageEnMView1.MIO.Params[ImageEnMView1.SelectedImage].SamplesPerPixel;
    if iBitDepth = 32 then
      iColors := 'RGBA' + IntToStr(iBitDepth) + '-Bit'
    else
      iColors := 'RGB' + IntToStr(iBitDepth) + '-Bit';
    StatusBar1.Panels[5].Text := iColors;
  end;
end;
end.
Bill Miller
Adirondack Software & Graphics
Email: w2m@hughes.net
EBook: http://www.imageen.com/ebook/
Custom Commercial ImageEn Development