What mobo do you have? On my ASUS P7C55D Deluxe (I think that's the model), I can only set it for all drives at once.
In general, it's better to run them all in AHCI mode.
As to "how do I check": In Windows, open the device manager (Start, righ-click on My Computer, select Properties, Hardware tab, click on Device Manager) and look under Disk Drives. Or, in the Real World (tm), open your case and look at the drive.