Straight out of XP "HElp"
To change how your computer handles multimedia content
Open My Computer.
Under Devices with Removable Storage, right-click the device you want, such as a digital camera or CD-ROM drive, and then click Properties.
On the AutoPlay tab, click the multimedia content type you want to change.
Under Actions, click the action you want Windows to perform when it detects the media type you selected.
To open My Computer, double-click the My Computer icon on the desktop.
Your removable storage device must be attached to your computer for it to appear in the My Computer folder.