When dragging a .blend file from the windows file explorer into blender, the current open blend file is closed without a save prompt, regardless of the setting in user preferences.
Steps to Reproduce:
From a new .blend file -
Enable (if not set) the 'prompt on quit' setting in user preferences.
Make any change in the viewport. (for example, move the default cube)
Drag any .blend file into blender to open it.
Blender will close the current file without prompting a save.
Tested in windows 10 64bit, on Blender 2.77a