you need to make sure you are working in rgb as gif are indexed color and cannot drag and drop and are locked in photoshop ( but not all programs).. nature of the beast
you can copy and paste though and it will automatically create layers
however if you are wanting to animate it you will want to use something that uses frames AND layers
see there on this animated banner i created for Jacquel
this was done by use of layers and frames in Image Ready ( the accompany program that comes with adobe photoshop)