Shader is a resource so you can't create it in the folder section. Go to the inspector tab, there you have the option to create a new resource and save it as you will. It's also where you can open to edit them.
About the drap and drop, if you want to open a scene you have to open it via the open scene button. if you wanna add it to a scene you can drop it to a node and it will be imported as such.
If you believe Godot needs some interface, usability improvements, please report to github. There is a announcement on the main forum page about suggestions. You can open a new issue with all the suggestions you have to improve the engine.
;)
