Well, you can't copy from any removable media to your Finder's desktop. All you can do is move it to the medium's desktop. So, if I put in a floppy, and drag something from it to the "desktop", then eject the floppy, the item on the "desktop" disappears.
As far as copying to another drive, I can't say what the problem is there. Does it only happen with CDs? How about a zip or floppy? (Perhaps you only have one type of drive for removables.)