Auto-play should in fact be disabled and I believe it to be completely disabled in the final version of Windows 7 for security reasons. In prior versions of Windows, you will remember that auto-play upon inserting a disk would immediately execute whatever the autorun was on the disk. This resulted in who knows how many people getting their system wiped out due to lax security for the sake of convenience.
You can create shortcut to your mountable volumes, whether they be network drives, CD-ROM, DVD, Bluray, hard disks, by going to My Computer and dragging the icon to the Desktop. While you won't automatically have this icon appear (it will always be there unless you remove it), that is one workaround for the Linux issue you are...