I would have sworn I used to do this with earlier versions of IE than 7 but I discovered tonight that my friend cannot do this on his computer (which has XP and IE 7.) I think I used to be able to click on an address in the address bar of IE 4 or 5 or 6 and drag it to the desktop and drop it. Or I believe I dragged the My Computer icon from the Start Menu to the desktop. But on my friend's computer, I can drag but when I release the mouse button, the address or icon simply disappears.
Is my memory at fault or do you suspect something is amiss with my friend's computer? He's using Verizon DSL and Verizon has integrated its 'home page' with IE. Could that combination be affecting dragging icons to his desktop?