The registry entry, on my system, was:

HKEY_LOCAL_MACHINE\SYSTEM\CurrentControlSet\Services\Cdrom
"Autorun" is a REG_DWORD that needs to be changed from 1 to 0.

Cleared it right up, just like a good dose of Penicillin.

EDIT: Note that on Win95/98, it's a simpler task of going into the Device Manager, selecting the drive, going into properties, and unchecking the auto-insert notification box.