After a bit of googling, I found out how to fix this problem. Autoplay is very annoying and I hear that it is also a security risk that Microsoft is planning to get rid of.
In Windows XP, you can disable autoplay for the entire computer or just one user account by doing the following:
Start ---> Run...
type "gpedit.msc"
This is the group policies editor.
Click "Administrative Templates"
then "System"
then find "Turn off Autoplay"
Doubleclick it and set it to "Enable"
You can choose to turn it off for CD Drives or All Drives from the dropdown menu.
Note that you must be logged into an administrator account to do this.