I hate this too!!!
And there is no such option in windows XP itself but I found an easy way to do it [img]smile.gif[/img] .
Simply download and install CloneCD (even a demo version) and go to settings and disable it there (disable *both* autorun and auto instert notification). Maybe others programs have the option too? Anyway... it works perfectly this way.
(still if there is an easier way I'd be very happy to hear of it.)