This is not a bug, but a security feature. To expand on Juan Manuel's answer:
This is not a problem specific to VS2008 or Windows 7. It happens between any applications with different integrity levels. In Vista or higher (Server 2008, Windows 7), this can be caused by UAC and having some apps elevated and others not. The application with a lower integrity level cannot send messages to the application with a higher integrity level. In your case, Windows Explorer, running as a non-priviledged user, cannot send drag-and-drop messages to Visual Studio, which I assume is running elevated (as admin). The same would happen if you tried to drag-and-drop files into an elevated Notepad, for example.
Some workarounds are:
- disable UIPI so lower integrity apps can send messages to higher integrity apps (security risk)
- disable UAC so all your apps (including Windows Explorer) run elevated (bigger security risk)
- run an elevated Windows Explorer (risky? and seems like a lot of work just to avoid File -> Open)
- use a non-elevated Visual Studio (least security risk, but doesn't support some scenarios, such as debugging ASP.NET apps in IIS, iirc)