If you want to use Windows Explorer to drag and drop files between your computer and SharePoint Online, then *.SharePoint.com ...

If you want to use Windows Explorer to drag and drop files between your computer and SharePoint Online, then *.SharePoint.com has to be listed as a trusted site in your Internet browser. To make sure you can manage files this way, add *.SharePoint.com to the trusted sites list in your Internet browser.  Click on the link 'get help fixing this issue' in the actions pane located on the right side of the screen for assistance. Follow the steps under the section: Add your SharePoint Online sites to trusted sites to resolve this issue.