mrslodger, welcome to the forums.
No, you can't just drag them, either from Lr or from where they're stored and imported from, say My Pictures, as you suggest.
You'll have to Export the images first, to a separate temporary folder. From the Library, select the images you want to print, and choose Export. A separate dialog will open. In general, just work your way down the dialog box from top to bottom. In the File settings, you'll probably want to choose JPG, sRGB, Quality 1''. Leave image sizing alone. Choose sharpening for the paper you're going to use, and start with Standard Amount. Minimize embedded Metadata.
Once the files are exported, they can be put on a thumb-drive etc, for printing. Then you can delete the temporary files.
If this sounds complex, it is. But there are good reasons that it works this way. We'd be happy to explain if you're interested, just ask.