Highlight them all then drag in to the First AUDIO track if it opens with the empty midi tracks then the first Audio Track should be Track 09.
Also in Windows Explorer, click a file with the left mouse button and keep the button held down then press the Escape key and drag and drop should be re-enabled if disabled.

RB_Drag_Files_In_Midi.mp4

RB_Drag_Files_In.mp4