Normally the Explorer shows drive labels as "Compact Disk", "Removable Disk" ect.

To change the name of this label for specific drives:

Start Regedit
Go to HKEY_LOCAL_MACHINE / SOFTWARE / Microsoft / Windows / CurrentVersion / Explorer
Create a key called DriveIcons
Within DriveIcons, create another key with the drive letter you want to change (..\DriveIcons\K)
Create another within the drive letter key called DefaultLabel
Give the Default Value for this key the label you want to appear for that drive letter. (Jazz Drive etc.)
Restart the computer