I've been having an eyedropper problem in Photoshop CS2.

This is what I do:
- select the eyedropper tool
- click and hold on an area to sample a colour
- while still holding, drag either to another photoshop window, file or say, an Illustrator window to sample a new colour
- while still holding, the colour samples correctly but once I unselect the mouse the colour changes to a much lighter colour

Doing this in the same photoshop file, it selects fine. Happens everytime and it's driving me crazy. Is it a bug or am I just missing something incredibly easy?