Wow! An MFC question on a Linux board ? That's pretty brave.
The proper response would be to direct you to an MFC ressource. The comp.os.ms-windows.programmer.tools.mfc is VERY active (I use it almost every day for my Win32 contracts). Now you DO know how to access NNTP newgroups, yes? I know it's a dying art but it's as good as any web based BB. While there are more flames and spam, the number of genuine posts in an active group compensate greatly for this. And this group is really good, populated with top-notch Windows programmers. Charlie Calvert himself (of "Teach yourself Windows programming in 21 days" fame) responded to me once
But the geek in me is always up to the challenge. Basically, it's as simple as overriding your CWnd based window's ON_WM_DROPFILES message handler. Assuming your are using ClasswWizard, experiment with the newly creatred OnDropFile(hDropInfo) parameter with a call to DragQueryFile(hDropInfo) with different other parameters in order to retrieve the number of files, the buffer size for the file names and the filenames themselves. Then get buzy on those files you retrieved. Read the on-line help, it's all there.