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
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.