There are a couple of things that could stop this. The first is the auto play setting has been disabled on the drive. If you view the properties for the drive there should be a tick box for autoplay somewhere..make sure it's ticked
The second reason is something called auto notify (I think). Many cd burning apps (Nero, adaptec etc) will by default disable auto notify. This is because if a request is made to read the contents of the drive when a cd is buring the operation could fail leaving you with a coaster(wasted cd). In disabling auto notify the burning app is able to take control of the drive and lock it from taking instructions from windows whist the cd is being created
Whilst this is a good thing it does stop autoplay from working on every drive in the system
The teltale sign of this would be that in explorer the cd name does not update when you change discs, it stays with the same cd name as when windows is booted up
