Answer
ArcCatalog connects only to your local hard disk drives by default. You can use the Connect to Folder command to connect to your CD and other network drives. Once you connect to these drives, ArcCatalog saves the configuration until you change it. You can use the Disconnect from Folder command to disconnect an existing connection.
Note:
Use disk connections sparingly. Disconnect folder connections once you complete your task. Having several folder connections may cause slow performance.