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I’m sure Microsoft has the stats that shows almost no one uses drag and drop

Yes I think most people right click pin in context menu on an opened application

Perhaps right mouse click on the task bar and check to see if you have a checkmark next to "lock the taskbar"

Even with that check mark, I got the same behaviour as Goronmon. I've now installed 7+ Taskbar Tweaker as mentioned in a comment [1] by wayneftw and that lets you change "Pin to" to "Open with".

[1] https://news.ycombinator.com/item?id=27924367

You'd probably want to remove that check mark if you want to move your taskbar (the checkmark indicates you want to lock it in place so it can't be moved).

try letting the file stay on the app icon for a few seconds, it should automatically switch to that window.