You may be using an older kernel that doesn't support SATA (most of the 2.4 and older series). Or you may have a buggy or unsupported (unlikely) chipset.
You cant connect two devices to the same sata cable.
Yes. All kernels in the 2.6 series have support for SATA (though the distributor may not have compiled them in). The later 2.4 kernels also have SATA support, but many distributions (Damn Small Linux is the only current one that uses a 2.4 kernel anymore) don't have it compiled in. Almost all modern desktop distributions (Ubuntu, Debian, Fedora, OpenSUSE, etc...) have support for SATA built-in.
if there is no sata (serial ATA) device connected, this could be a hard drive, or cd drive etc,
Yes. All components of the board (video, Ethernet, SATA, etc...) are fully supported in Linux.
SATA
A SATA power connector is what connects the SATA device to the PSU (power supply unit), therefore giving it a source of power. There is another cable that connects to the motherboard but that is just for data transfer.
Any distribution using a kernel newer than 2.6.8 (aka any distro except the Small Linux that you'll find in 2009).
SATA
The ICH
3.0 GBPS
One would use a SATA to IDE adaptor for things such as backing up data, virus scanning and imaging. These adapters can be purchased from places like Best Buy, Tiger Direct, Amazon and eBay.
Windows xp does not have native support for SATA interface (except SP3). You have to download SATA interface driver from the motherboard/computer website and use F6 installation procedure.