In Lion, Apple further simplified the Finder by hiding all disk drive icons from the Desktop, including any optical and external drives. While this certainly makes Finder look cleaner, this actually makes it more of a pain in the butt to deal with external drives because OS X pitches a fit when you simply yank a drive without properly ejecting it (and you actually could run a real risk of data loss, so don’t do that). There are two solutions to this minimalism-run-amok problem.
Solution 1: Of course, you can click the Finder in the Dock to open a new Finder window, scroll to the bottom of its sidebar, and click the eject icon next to any drive you need to eject.
Solution 2: Open the Finder’s preferences (Finder > Preferences or ⌘-,) then tap or click the General pane. There you can enable options to individually display external disks, optical drives, servers you connect to, and even your internal disks on the Desktop, just like it used to be before Lion. You may then resume clicking any ejectable drive and using File > Eject or ⌘-E to properly eject the drive and prevent OS X from scolding you.