If you are one of those who like to deal with inserted DVDs, USB keys and other removable media yourself, the Autoplay feature of Windows will most likely do nothing but being clicked away by you.
If you want to save yourself a pop-up and a click you can disable Autoplay. To do so, open the menu and type in gpedit.msc. The group policies window will open and you'll see a navigation pane on its left. Browse it for
Local Computer Policy > User/Computer Configuration > Administrative Templates > Windows Components > AutoPlay Policies
Pick User or Computer Configuration depending on the range you want your settings to have. On the right pane, there should now be some settings, on of them being Turn off AutoPlay. DOuble-click it for the configuration window to open.
On the left, click the Enabled radio button. On the options pane you can choose between turning AutoPlay off for all media or just for CDs or removable media drives (since those are the most common I'd recommend to choose that). When you're done, click Apply and exit the group policies. Next time you insert something you won't be bothered with pop-ups.