The zillion file person was a hypothetical, but I'll give you a real world example: I use two monitors, and I tend to arrange files I'm working with into groups on the two desktops. I have the browser open in one window, and since I know what the groups are (and they're arranged to not overlap with my browser window), finding a particular file that I would want to drag to imageshack takes a fraction of a second, drag and dropping would take another second max. Finding the file in the browser dialog ignores all the grouping and placement I have done on the desktop and just sorts things by filename. It takes significantly longer for me to find files with that dialog than the 1.5 seconds to drag a file to firefox.
Fair enough. If you've taken the time to organize the icons, you probably know where everything is. But when I think of some one with a zillion files on their desktop, I picture a disorganized jumble of icons. Plus the second monitor probably helps. Different strokes for different folks, I guess.