HKEY_CURRENT_USER \ Software\ Microsoft\ Windows\ CurrentVersion\ Policies\ Explorer
On the right side see if there is a value named
NoCloseDragDropBands and is set to 1
Change this to 0
Or in case you have XP Pro
in Group Policy Editor under User Configuration - Administrative Templates - Desktop
set the "Prevent adding, dragging, dropping and closing Taskbar's toolbars" policy to disabled.
Hmmm..that was the only way I could reproduce your problem. Do you have several accounts on your computer? If so does the problem occur for all users? There may be a slight chance that it is a global restriction. Check the same key as above but not under the CurrentUser but under the LocalMachine hive.