The important thing is to drag the mask image
into the target image's window, not onto the Photoshop "workspace" (the area that is usually coloured light grey).
Another method you could use, if you're not comfortable using the Move tool to drag'n'drop:
- Open both images in Photoshop - let's call them SourceImage.jpg and TargetImage.jpg
- Click on SourceImage.jpg to make it the active document
- From the menu, select Select > All or press Ctrl+A on the keyboard (Command+A on a Mac)
- From the menu, select Edit > Copy or press Ctrl+C (Command+C) on the keyboard
- Click on TargetImage.jpg to make it the active document
- From the menu, select Edit > Paste or press Ctrl+V (Command+V) on the keyboard
- A copy of SourceImage.jpg will appear in TargetImage.jpg as a new layer