Funny, there was another Shell Extensions questions today (I don't see them too often).
Anyway, you want to look into "Shell Extension Handlers." In short, you need register a "DropHandler" in the regsitry, then implement your interface via DLL.
Like I answered in the other question, this is a whole separate branch of API, and MSDN could probably explain it a lot better than I can. Search "Shell Extensions" in MSDN. Depending on how much you know, you can either start reading directly from there, or you might have to start with the basics of Shell. Make sure you know some knowledge of COM as well.