That's because it's not mass storage. WinMo phones appear as network devices. When you access the filesystem, you're doing do via some network protocol (webdav?) - it's just support is built into windows to make this seamless.

Apple haven't done anything similar for the iPhone, presumably because users may be frightened of files. I guess it cuts down on support costs... there are webdav style apps you can use for this type of thing (provide a network-mountable view onto on-phone-storage), or you could use mobileme's iDisk cloud storage type thing which I use as a PDF archive that I can browse easily from my phone.