Browse to C:\Documents and Settings\Username\SendTo and put a shortcut to the drive in there, If this is not what you have already done.
You can also right-click the drive in My Computer, choose Properties and then the Recording tab. Ensure that Enable CD recording to this drive is ticked.
Also if you have any burning software such as Nero or Roxio installed, they may well take over some of these options. In my Send To folder the shortcut to the CD drive is labelled Drag to Disc drive.