I have an Airport Extreme with a Western Digital external hard drive attached. I can see the hard drive in the airport utility and on my laptop, but it does not show up on my desk top

Click the Finder icon at the bottom of the Mac's screen to display the Finder menus at the top of the screen

Click the Finder menu next to the Apple icon, then click Preferences

Click the General tab

Under the heading of Show these items on the desktop, make sure that there is a check mark next to Connected Servers

Restart the entire network and open a Finder menu to see if the AirPort Extreme icon is now displayed under the SHARED heading in the window. Click the AirPort Extreme icon to display a folder representing the drive. Double click the folder to mount the drive on the desktop.

You may need to click "Connect As" the first time that you do this and enter the password to connect to the drive.

That additional information would change the answer just a bit.

See this Apple support document for info about that:

http://support.apple.com/kb/HT1331

I had no trouble connecting a Windows 7 machine a few weeks ago when I tried the Mounting Using a Server Connection method.