Your workspace is a folder where you keep your projects. For the exact location of your workspace folder on your particular host, see Where Files Are Stored? appendix in this guide.
All files must belong to a project, and consequently you can't open an arbitrary file in the filesystem; files have to be a part of some project (you work on a known set or resources).
For Windows, dragging and dropping files works as long as the destination is a project or folder. Once in the workspace, double-click to open the appropriate editor.