Hehehe, then something else is messed up. Uncheck it, then reboot, then check it again and reboot one more time... See if that restores the regestry value... If that does not work, something else is wrong and may require a reinstall for that feature!.
Make sure you are using a CD that has autoplay file in it... If not it will fail to open up automaticaly... Most game CDs will have Autoplay, so make sur you try one.