True, you can download FloatLED (provides a pair of blinkenlights on your desktop for HDD activity) but it is not the same thing as a physical HDD LED.
Every time I get a laptop which's painfully slow, I want to see if the HDD is churning, but there's no indicator light - have to dig through stuff to find the performance applet and see if the HDD is behaving itself or not.
Just not on, especially when doing windows updates on shutdown - then you can do zippo.