Sadly the previous two replies are spot-on... if you run as Admin you can't drag from folders or the desktop directly to a track in Sonar. Actually, there is a way to get it to work, but it requires major changes to the folder permissions, and you have to do it over ad over again if you make other changes to your directory tree.
Which is a problem, since there are some older plugins that don't work, or don't work properly if they are not running as admin.
In the end I decided I needed drag&drop more than I needed those older plugs, so I run as me now and it works.