Here's something which I have been meaning to add up here. Since IE7 (I know, this one is old) no longer did running "C:\Program Files\Internet Explorer\IEXPLORE.EXE -E C:\" (or any other drive for that matter) work. You would always get an error message stating the system cannot find the device specified. Here's how I got around that annoying message

Publish a new application in the Management Console for Presentation Server, Call it "My Computer"
Under application location type
C:\Windows\explorer.exe /n,/e,::{20D04FE0-3AEA-1069-A2D8-08002B30309D}
and under Working Directory type
C:\Windows

Any other setting really wont matter here.

And Voila!!
Your users now have a Citrix Icon to access their My Computer. I would recommend to hide the local systems drives from this view, but from here, you can cut down on all your individual shared drive icons and just have one to house them all!