PxPlus doesn't have the ability to directly provide a list box that you drag files out of, however what you can do is if the files you want to drag can be placed in a directory you can create a Shell.Explorer control on your PxPlus panel pointing to that directory. Then the user can drag the files out to external applications.
def object h,@(10,10,30,10)="Shell.Explorer"
This will create you a window where the directory will be listed and the user can drag the files out of.
One trick you can use if you have a large selection of files in a common directory but only want to allow the user to select specific files is to create a dummy directory then using the Windows mklink command create links to just the files you want the user to have access to.