Just a thought here... Can you define what you're trying to do as there are a few choices as to what you actually mean.

Is it to drag two objects when editing.

Is it to drag two objects when playing the module.

The first is as Marius points out one of the fairly basic windows type operations using a multiple selection of files or objects.

The second is a totally different scenario, assuming that you want the the two objects to be bound together so that one or other follows the movements of the other. That is grab either and both move together.