I think that's only for USB devices... My digital cameral, MP3 player, and all my game pads work that way... but my old parallel-port drives (old ZIP100 drive, old external CD-ROM unit, etc), have to be removed while the PC is powered down.
EDIT: I forgot it's for PCMCIA cards as well. And it's not just WinXP, my Win98 laptop does it too.
I believe the term for this is "Hot Swap" and as far as I know parallel port devices are not Hot Swappable.
Assuming Chris's setup is external and uses a parallel port.
If it's internal, using any of the standard internal ports (IDE, SCSI, etc) then no, you can't disable it while the comp's running.
OS: WinXP Pro
Mobo: Gigabyte 8VM533M-RZ
CPU: 2.2GHz Intel Celeron
Vid: Gigabyte NVidia MX 4000 (128 MB DDR, TV out)
RAM: 512MB DDR
HD: 40GB (1:3 partitioned), 34GB
Drives: DVD R/RW and 16x DVD-ROM
ISP: AT&T/SBC Yahoo! DSL