I need to know what distribution, and desktop you're using. For example, with ArchLinux, if you use the Xfce desktop, you have to install either gvfs, or udisks then enable the setting to show mounted drives on the desktop.
One thing to keep in mind though: these drives are not actually mounted to the "Desktop" folder. What you see is merely a shortcut to the drive. It doesn't really matter much, but I thought you might want to know.