In order to get dropped files(AKA: file(s) which were dragged onto the window control)
you'll have to accomplish two steps:
Note that the DragQueryFile also retrieves directories!

1.Add the accept-files style to the window control
 
 DWORD dwStyle = GetWindowLong(hWnd, GWL_EXSTYLE);
 SetWindowLong(hWnd, GWL_EXSTYLE, dwStyle | WS_EX_ACCEPTFILES);

2.In the window procedure proccess the WM_DROPFILES message

 char tmp[256];
 case WM_DROPFILES:
  HDROP hDrop = (HDROP)wParam;
  DWORD DropsNo = DragQueryFile(hDrop, -1, NULL, 0);
  for (DWORD i = 0; i < DropsNo; i++)
  {
   DragQueryFile(hDrop, i, tmp, 256);
   MessageBox(NULL, tmp, "", MB_OK); // Do anything with the data...
  }
  DragFinish(hDrop);
 return(0);

Voila :)