Click and drag to SharePoint Explorer view is very helpful instead of using the upload multiple documents. But it seems that this does not work fine if you are running SharePoint 2007 on Windows 2008.
For all those who are struggling to get this to work. These are the steps:
1. Upgrade your Os to the laltest Service Pack
2. Install Sp2 for your Outlook 2007
3. Install Software Update for web folders Folders http://www.microsoft.com/downloads/details.aspx?familyid=17C36612-632E-4C04-9382-987622ED1D64&displaylang=en
4. Install the folllwing fix http://support.microsoft.com/default.aspx?scid=kb;EN-US;968858..
note that this only applies to Office 2007. I haven't found a fix for Office 2003.
I hope this helps..