There is a program that does this, what is it called...I forget the name and just did a google search for it and couldn't find it. Anyways it was this really tiny program that just did exactly that...when you plugged in a USB drive it created a shortcut on the desktop....when you unplugged it it removed the shortcut.
Shoot! What was it called?
AA
EDIT: Just found it! It's called Desktop Media. Turns out there's one called Desk Drive too..anyways here are the links:
Desktop Media and
Desk Drive