I used to have this problem on my Windows XP, and then Vista computer and managed to find a fix to stop it happening - but I can't find any information this time round.
I am using IE8 and Windows 7 Ultimate (RTM).
When I attempt to drag an image from a webpage to my desktop, or a local folder I get a dialog with the question: Do you want to allow files from this website to be copied to your computer:
How can I get rid of this, so that I can drag and drop without any interuption?
I know it was possible in previous versions of Windows as I overcame it. I also have a recolection that it is not an IE setting but instead an OS one (bourne out by the comment here).