Winamp > Ctrl+P > File Types > uncheck 'Launch Winamp for Audio CDs'
The above is specific to Winamp and may not exactly be what you are looking for. So maybe the following...
ComputerHope: Enabling / disabling Windows AutoPlay
Annoyences.org: Turn Off the CD-ROM Autorun
If you are not very comfortable or familiar with using the Registry Editor, I would advise against using the suggestion /tip pertaining to the Registry Editor.
If you are using Vista...
Windows Help and How-to (Microsoft): AutoPlay FAQs