When I do os.walk('/') on a Linux computer, the entire file system is walked. On windows, however, I can only walk one drive at a time (C:\, D:\, etc.).
If this is a personal utility for one computer, and if you run XP on that computer, then you have the ability to mount secondary drives on to the file system of your main drive. This would give you the effect that you are enjoying on the Linux side.
I am guessing that the utility that does this is the same one that allows you to partition drives, but I'm not sure. -- http://mail.python.org/mailman/listinfo/python-list