Yes, Windows mounts drives in the background.
Linux doesn't do it automatically because the single filesystem in which any directory can be a mount point (i.e. I can mount a cdrom at /mnt/cdrom, /tmp, /wherever) is a lot more flexible but it also means it's nearly impossible for the OS to guess what you want. Mandrake normally (atleast I thought) includes automount daemons that automatically mount cdroms, floppies, etc when you try to access them.