Dragging over the app won't let you do whole folders just movie files.
Use the "Import" command under the "File" menu instead of dragging. This command will let you select an entire folder for DVDpedia to go searching for movie files in. After that all the found movie files will be placed in an excluded collection called "Imported Links", where you can use the gear button on the bottom right of the movie edit window to download more information including the cover images.
After that you use the "Include Collection in Library" command under the "File" menu to incorporate all the movies at once into your regular collection, or otherwise drag and drop them into your library collection as you add more information for each movies.