A practical and simple solution is to use this program, Desk Drive, that will add a temporary shortcut to this new device on your Windows Desktop.
The shortcut is temporary because the moment you disconnect the pen drive or USB memory stick from your computer it'll go away without leaving a trace.
Desk Drive runs in the background of your system tray and every time you connect a device or disk it'll activate the corresponding shortcut.
Compatible with Windows Vista. The capture has been taken with a DVD in the CD/DVD tray and a USB pen drive connected to the computer.