Drag and Drop to execute file

How can I switch on the capability to drop a file onto an executable
icon?

For example: if I want to open a .dat file in Notepad, I used to be
able to drag it an drop in onto a Notepad or a Notepad shortcut icon
and it would open in Notepad. Now it justs copies the dat file to
wherever the target icon resides. The only option I can find is to
use right click and open with. "Open With" can be easy if Vista
presents the application on its list. Otherwise it's browse and drill
down to what you want it to open with.

Anyway you get the point, I hope.