Ah - OK. Then you'll need to use the "Import" function in the left hand panel first, to load the file into one of the "Projects". Create a new project to import into first, perhaps, so you don't mess up any other that you have. When you have done a successful import, you can do the drag&drop thing.
Note that there are three file types: .mbpz, .mbbz, .mbprojz - these are single presets, single banks (a row of 16 presets) and a full project (all 256 presets). The Import/Export functions relate to these an let you choose the right file type.