Use the Media Browser--sort of the same thing.
Thanks for the suggestion. I know that's an option, but just not nearly as good as the way I'd like to do it. With a dual monitor setup I can view all my pictures and clips quite large on my second screen and being able to just drag and drop would be far easier.
I guess I'll just keep doing what I've been doing dragging into premiere and then dragging to the timeline.
What you are doing in the Timeline, is placing a proxy of your Video file into the Timeline. The original Video file is not in PrPro, but is sesiding, where you placed it, on your HDD. When you Import the file, an XML link is established to Video file, and that proxy file is created in Project Panel. It is basically for display, but is also used to collect data, which is written into the XML of the PRPROJ (Project) file. Nothing has changed with your actual Video file, as you edit. There is just a database of instructions being written. It is not until you Export, that those instructions are acted upon, such as telling AME which Frames will need data gathered from the original file, and then how to process that data, such as an Effect. Then, that data is written to your output file.
You can drag your Video files to the Project Panel, and then to the Timeline (as you are then dragging the proxies), but I subscribe to Colin's method, Media Browser (or File>Import) myself. Yes, there is one additional step, but it's an important one, as it includes the Import function, which is necessary.
Good luck, and when you DO Import, allow the program time to Index and Conform the Imported file. Just watch the progress bar, and when it finishes, drag from the Project Panel (or the Source Monitor, if you are Trimming).
I think the OP is plenty aware of how Premiere Pro works with imported media. The OP is asking for a way to add clips directly from Explorer to a sequence, not for an analysis of how a sequence works.
OP: While I don't necessarily see this as an essential function of Pr (in fact, I think it would offer the potential to create a mess), you can make requests for such functionality here: Adobe Feature Request/Bug Report Form
You could undock the Media Browser window, drag it to the second monitor and make it big.