If you have the jumpers set correctly you should be able to find them under My Computer and the drive should show up there. Jumpers are little clips on the actual hard drive. You need to look online or it may be written on the actual label.
If no drive showing you have the jumpers set wrong or need to go into bios (F12 or F2 on boot) to tell the computer what type of device is attached.
Also desktop files/folders are stored under C:\Documents and Settings\"username"\Desktop