I had exact the same problem on a HP notebook with Vista Home Premium, description of the problem:
When in Windows (Vista) Explorer during a "drag and drop" operation one "hoovers" (dragging not dropping) with a file in the neighbourhood of the "My Shared Folders" folder (under Computer) the pop-up message "To use sharing folders, you need to sign in to Windows Live Messenger" appears, the small blue rotating wait-cursor is active. Clicking on the OK button in this pop-up window has no effect. Explorer hangs.
Workaround: Hit the ENTER key.