Is it possible to connect automatically to a server on login without an opened window? I know how to have the connection established at login, but I don't know if it's possible that the Finder doesn't open a window of the server root... 

I've tried the "Hide" checkbox, but this doesn't help. (I'm on Snow Leopard)
Instead of whatever method you are doing now to mount the server, I would recommend a script which is launched at login for all users.

Your best options are either a LoginHook or a launchd process installed to /Library/LaunchAgents/ 

You will then need to figure out the syntax for the mounting the drive.

UPDATE: 

I decided I wanted to check this out further myself, and created this launchd script:

&lt;?xml version="1.0" encoding="UTF-8"?&gt;
&lt;!DOCTYPE plist PUBLIC "-//Apple//DTD PLIST 1.0//EN" "http://www.apple.com/DTDs/PropertyList-1.0.dtd"&gt;
&lt;plist version="1.0"&gt;
&lt;dict&gt;
    &lt;key&gt;Label&lt;/key&gt;
    &lt;string&gt;luoma.mount.blackbook&lt;/string&gt;
    &lt;key&gt;ProgramArguments&lt;/key&gt;
    &lt;array&gt;
        &lt;string&gt;/Users/luomat/Dropbox/bin/mount_blackbook.sh&lt;/string&gt;
    &lt;/array&gt;
    &lt;key&gt;RunAtLoad&lt;/key&gt;
    &lt;true/&gt;
&lt;/dict&gt;
&lt;/plist&gt;


which I placed at /Library/LaunchAgents/luoma.mount.blackbook.plist (owned by root)

The script  can be found at http://f.luo.ma/mount_blackbook.sh (note: script will display in browser window, to download, use click-click/save-as)