If you plug in a USB drive and Windows doesn't assign a letter to it, you can assign a letter yourself using the Disk Management console:
- Run diskmgmt.msc
- In Disk Management window, locate the box corresponding to your USB drive.
- Select context menu item Change Drive Letter and Paths....
- Assign a letter to your drive.
This problem happened after I had mapped a remote drive to Z: then plugged in a USB key. I could see the USB key and eject it in the Windows Start Bar but no letter was assigned to it.