Note: The values given below are in hexadecimal. You usually need to reboot for changes to have any effect.
The registry key is
HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Policies\Explorer
There should be a DWORD value named NoDriveTypeAutoRun. If not, simply create it. To disable autorun on all CD drives, give it the value B5. For enabling it again, the value is 95.
This is usually the first thing I change on a new box. There is just too much at stake, and nowadays even music CDs can do serious damage to your PC.