If I read this correctly to drag a whole picture into another you need to be in the move tool mode. You won't see the picture move, but the cursor will change when the 2 pictures are layered.
If you have the dotted border (marching ants?) you are selecting part of image, then you need to do a copy/paste.
In addition to the approaches mentioned already you can also do it very quickly and easily with IrfanView, a popular, free program. Open IrfanView and then click on Image > Create Panorama. In the resulting dialog box choose either horizontal or vertical orientation, select your three files and hit Create Image. A very fast operation.
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