Run the Registry Editor (REGEDIT.EXE).
Navigate to HKEY_LOCAL_MACHINE\SYSTEM\CurrentControlSet\Services\Cdrom.
Double-click the Autorun value, and type 0 for its value. (If it's not there, create it by selecting Edit -> New -> DWORD Value, and typing "Autorun" for its name.)
You may have to log out and then log back in for this change to take effect.