I often find it wise and practical to disable AutoPlay.  To disable AutoPlay on CD/DVD and removable drives, you can simply edit the local policy.  In an AD environment, you can also push this setting via GPO.

XP Professional

• Start >> Run.
• Enter gpedit.msc and click OK.
• Navigate to: Computer Configuration > Administrative Templates > System
• Look for the "Turn autoplay off" option
• Set the policy to "enabled"

Windows 7 Professional

• Start >> Run.
• Enter gpedit.msc and click OK.
• Navigate to: Computer Configuration > Administrative Templates > Windows Components > Autoplay Policies
• Look for the "Turn off autoplay" option
• Set the policy to "enabled"

Note: This setting appears in both the Computer Configuration and User Configuration folders. If the settings conflict, the setting in Computer Configuration takes precedence over the setting in User Configuration.

XP Home

In XP Home, you need to make a change directly to the registry...

• Start >> Run.
• Enter "regedit" and click OK.
• Navigate to: HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Policies\Explorer
• Modify the "NoDriveTypeAutoRun" option and set the value to "95"