By default, Windows 7 pops up an autoplay window when you plugin new media. While a lot of people find it quite useful, it merely gets in the way for me.
Thankfully, you can tweak this behavior in a granular manner. Want your audio CDs to autoplay in Winamp but want your movie DVDs to open with VLC instead? Or want autoplay disabled on just your USB devices? Easy. Go to Control Panel -> Hardware and Sound. There you can find a separate section just for autoplay. The first link lets you tweak everything to your heart’s contents.