Now they tell me!
In what is said to be the best book on the Microsoft Foundation Classes, the discussion of OLE begins at chapter 18 on page 1061.
Ninety-one pages later -- on the last page of the following chapter -- Jeff Prosise gets around to mentioning that, before you do anything else, you've got to call AfxOleInit().
If you write an application and find that calls to DoDragDrop or other OLE functions mysteriously fail, make sure that AfxOleInit is called when the application starts up. You'll save yourself a lot of grief.
Now, they tell me!