In iMovie HD 6, you can drag a movie to a drop zone from the timeline or Clips pane. You cannot drag a movie to a drop zone from another location such as the Finder or another application.
If you have files in the Finder or anywhere outside of iMovie HD 6, import them into in your project, and then drag it from the Clips pane. You can also import the items into other applications recognized by the media pane in iMovie (such as iPhoto). You can drag items from this pane into drop zones as well.