I'm pretty sure this is not possible out-of-the box (though I have seen some third party utilities that claim to massage Windows' behaviour to this effect).
What you can do though is use the disk manager (found in the tree of configuration options accessed via "manage" from the right-click menu on "my computer" in XP) set the volume to appear in a particular directory instead of, or as well as, under a drive letter. This does seem to stick. For instance, one of my USB drives always appears as c:\mnt\littlered, and the three partitions on an old hard-drive that I sometimes connect via a PATA->USB adaptor turn up as c:\mnt\oldsys_c, c:\mnt\oldsys_e and c:\mnt\oldsys_f.
If the drive letter is important (rather than the volume just being in the same place more generally) then you could try sharing the directory that you chose and map that share locally as a particular drive letter. I'm not tried this myself, but in theory it should work without issue.
Exactly how Windows identifies the drives I've not seen documented, so this may fall down if you have two completely identical mass storage devices, but it has worked for me so far.
That does not tend to stick permanently though. While I've found that it does stick for a while there is no guarantee that Windows won't have assigned the letter elsewhere next time you plug the drive in and it will be forced to chose another drive. I've also seen drive letter assignments like this vanish when there hasn't been any external device plugged in between occasions when the specific drive has. – David Spillett – 2009-07-31T07:39:40.463
5It is permanent, windows will always assign the specified letter to the specific usb key if that letter is available. It will also happily assign this letter to a different usb key, if the "owner" is not inserted. So in order to guarantee that a specific usb key always has the same drive letter, use the method described but assign it a letter far down in the alphabet. For example U, like pelms suggests. – Console – 2009-07-31T08:03:02.623
I'm sure I've seen it not be permanent when I would expect it to be, but I can't rule out having done something else wrong myself... Using the map-volume-to-path-and-map-that-to-a-drive-letter-via-"network"-share is what I would try if the drive letter was important and positively had to remain the same (the share mapping would stop Windows giving the letter to another removable drive). – David Spillett – 2009-07-31T09:30:12.163