You can also use the registry to Hide Drive Icons
The only way to then access them would be to manually type in a path in Start, Run for instance. Or using DOS to navigate to that drive letter. If you couple this with NTFS permissions you can hide a drive pretty effectively.
It is a tad bit of a hassle to configure however, and you have to understand Hex codes. Although I did find a site that calculates the value needed in the registry here:
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It also includes directions on how to setup the hide drives registry key.