Cross-application drag-and-drop in Delphi

This can be done with The Drag and Drop Component Suite. It also has examples for what you want.

Raymond Chen has a nice series of articles about drag&drop:

• What a drag Archives | The Old New Thing
• What a drag: Dragging a virtual file (HGLOBAL edition)
• What a drag: Dragging a virtual file (IStorage edition)
• What a drag: Dragging a virtual file (IStream edition)

There are many other good articles on his blog when you search for drag and drop.