If you have prevented users from using the right-click context menus, they can still gain access to the drives from My Documents / File / New / Shortcut.
To disable the New / Shortcut functionality:
1. Delete the KEY_CLASSES_ROOT\.lnk\ShellNew registry key.
2. You can use tip 4195 to run a NoNewShortcut.reg file on all clients:
NOTE: This does NOT remove Shortcut from the New menu but it renders it inoperable.