Many people here have not only "tried" it but are doing it.
What is also a good idea is partitioning a drive, but if you want to go with more drives that is fine too.
It is perfectly fine to have Windows on C: and have all your programs installed to D: and then all your media stored on E: and then having downloads stored on F:.
There is a sticky called Ratified Partitioning Stratigies, you should give that a look if you are interested in this idea.