Instead of DnD'ing a Folder, try with just an individual File like a picture or text file. Does DnD'ing an individual file work? If yes then try a Folder that just contains a few Files, 3 to 5 pictures or text documents. Does DnD'ing an a Folder that just contains a few Files work? Try doing this in both directions for both tests, Mac > Virtual Machine and vise versa.
First in Windows Explorer go to %TEMP% and delete the VMwareDnD Folder and then reboot the Virtual Machine. Then do the DnD testing.
Hint: Copy and Paste (or type)%TEMP% into the Address Bar in Windows Explorer and then press Enter.
So that four tests and the answer to four questions! 
DnD Individual File from Mac > Virtual Machine, yes|no?
DnD Individual File from Virtual Machine > Mac, yes|no?
DnD Folder containing a few Files from Mac > Virtual Machine, yes|no?
DnD Folder containing a few Files from Virtual Machine > Mac, yes|no?
Also you might want to provide the support information... To help figure out what is what, the best way to provide comprehensive diagnostic information is to use the "Collect Support Information" command from the VMware Fusion (menu bar)> Help > Collect Support Information and then attach the .tgz file it created on your Desktop to a reply post. Do this after the DnD tests if they fail.
BTW, why are you taking a picture with your phone and not just use the built-in Mac OS X Screen Shot function!? Also the error message in the pic you attached is not legible, even enlarged, so it's of little value. In the future have a look at: Apple - Find Out How - Mac Basics - Capture Screen Shots