that video shows a Mac, but on Windows 7, although dragging files onto the taskbar icon works whether ST was open already or not, dragging folders doesn’t.
You could follow the steps at https://github.com/SublimeTextIssues/Core/issues/113 to be able to just right click on the folder and select “Open in Sublime Text” - seems like it would be less hassle than dragging it. But, if you really want to drag it, open an ST window first and drag it to that. It could be a Windows limitation that folders can’t be dragged to other applications on the taskbar.