This seems to be an issue in Windows, more specifically related to how the drag-drop is managed.
The developers of the WINSCP client have developed their own shell extension, which overrides this drag-drop behavior and allows dropping the file to the right folder immediately. They explain the trick in their documentation and, more interesting, what is the problem and how they solved it.
Here is the interesting part:
Windows drag&drop mechanics does not allow source application of
drag&drop operation to find out easily, where the files are dropped.
It is up to target application (Windows Explorer usually) to transfer
files to destination. It is rather reasonable, because source
application can hardly transfer files to all possible destinations.
Keep in mind that you can drop files not only to a directory, but even
to ZIP file (or any other archive), remote directory (via FTP, SFTP,
SCP, …), trash, …
Obviously even Windows Explorer (or any other target application, like
WinZip) cannot download files from any possible source (particularly
it does not know SFTP/SCP).
Also, specifically for 7Zip: user ray023 answers this question in the SuperUser Stack Q&A: http://superuser.com/a/422463
Basically, if instead of drag-dropping your file you use the "extract here" method available in bith 7-ZIP and Winrar, the files are directly extractly to the right directory.