In Explorer right-mouse-button click on the drive and bring up properties. Go to the AutoPlay tab. Set it to "take no action" for whatever events you wish.
Grrrrrrr ..... i wish there was a global "don't ever take any action whatsoever no matter what i stick in any darned drive", but there isn't. You have to set every single drive / event option individually. And, the annoying kicker is that Windows and other software will reset those options for any reason or even for no reason. Very stinky.
there is a way to 100% disable autorun on cd/external drives. interestingly, in an article on music piracy & how disabling the autorun violates the DCMA when using cd based copy protection. :D