How to get a "warning window" to come up before moving files by clicking and dragging?

You should increase the drag threshold of your mouse. This is a value that determines how far you must click-and-drag before Windows will recognize the action as a "move" operation. This article explains what you're trying to achieve.

You can use Windows XP Power Toys to change the mouse sensitivity (direct download link). Select Mouse and change the "Drag" on right side. You might want to set the drag threshold to a very large value like 50 or 100 pixels, or a smaller value if that is enough to prevent the mistakes you're seeing.

Alternative: This page contains a tool that will help you set your mouse sensitivity. Here is a direct download link to the tool.

This is an ancient question but it has high Google pagerank so in the hopes of helping other searchers I thought I would add an answer that works very well for me now with Windows 10:

http://broken-e.com/dragdropconfirm/

It is on github as well.