What if you get a program which automatically creates a shortcut when you insert cd /dvd in your cd / dvd drive or may be when you plug in your USB drive. And lets get ahead how about a shortcut gets created on your desktop when your map a network drive.
Desk Drive is a nifty software which sits on system tray and keep watching on all the above things which I just mentioned. It not only creates the shortcut for the plug and play medias but removes them when they are removed. This certainly solves the problem of you going to explorer and then opening the plugged drives. Just hit the the show desktop icon or WIN + D and access it.
However it does not work with all the plug and play things. Like it never worked when I attached my camera . Possibly it has to detect it as USB or memory device . Even though its worth a try. Its free and small in size and no memory hogs. Works on Windows all versions Xp, Vista and needs do net framework.