I've noticed that in my Windows 7 installation all my hard drives are shown as a removable drives. This is not only looks incorrect, but it also permanently occupies your system tray with Safely remove hardware icon.
After some investigation I've found that this indicates that not all required drivers are installed on an operation system. On my Intel chipset you were need to install Rapid Storage Technology driver. After that, and a two reboots (duh!) hard drives are identified correctly as not removable. You also got some RAID caps via Intel app, but I wasn't really interested in that for now.
Be aware however that this driver installation procedure can trigger activation for some protected software applications!