I have the same option selected for my iTunes library;
Whenever I double-click an MP3 file, it will open with iTunes, before being copied by iTunes ("automatically added"...) into the iTunes library and sorted automatically into the correct artist/album folder inside the music folder within my user settings.
Once that is done, if it's a file that I've copied across to my desktop, for example, I delete the desktop version because when iTunes adds it to the library, it makes a new copy (above).
As far as I know, just dropping the files there won't automatically add them into iTunes. You have to select to play them first and iTunes will do the rest.
Unless anyone else can say otherwise?