ObjectARX 2004 had a nice C++ sample that demonstrates the implementation of drag-drop into AutoCAD both as files from the explorer and from a modeless dialog inside AutoCAD. I have attached the migrated sample for AutoCAD 2016. To try it, appload the arx and run "arxdd" command. Please follow the ReadMe.txt included in the sample for explanation on the methods implemented to enable drag and drop.
Download Arxdd