Right-click the CD-ROM drive in Windows Explorer (or My Computer), and
select Properties.
Select the AutoPlay tab.
Now you can select your AutoPlay preferences according to the type of
content.
As far as I can gather, you can't disable the auto-start (as with an
installation disk) without a registry-hack.
You can however prevent a CD from auto-starting by holding down the SHIFT
key while putting in the CD.