By default, Windows runs the "autorun.inf" file in the root of a drive when it's mounted. Obviously no-one put any thought into the feature and it's now commonly used to spread viruses (particularly via USB flash drives). To disable Autorun for all drives, load our friend El Regedito:
Set this to "ff" hexadecimal.
Sucks to be Microsoft.
UPDATE: Microsoft released an update to do this in February 2011.