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Shader is a resource so you can't create it in the folder section. Go to the inspector tab, there you have the option to create a new resource and save it as you will. It's also where you can open to edit them.
About the drap and drop, if you want to open a scene you have to open it via the open scene button. if you wanna add it to a scene you can drop it to a node and it will be imported as such.
If you believe Godot needs some interface, usability improvements, please report to github. There is a announcement on the main forum page about suggestions. You can open a new issue with all the suggestions you have to improve the engine.
C# support should be coming in the next version of Godot. There are no tutorials on the matter since it's not implemented yet.
At the top right of the forum there is a link to the "docs", there you will find all of the current info on Godot.
Also, the tutorials section in this forum has a dew blocks of info.