I have XP Home SP2...and assume this would work with other versions also. Hope it helps!
Sorry this is such a large image...
To Stop XP from ALWAYS bringing up this darn menu to ask you what to do when you put in a zip cartridge, photo card, or turn on an external drive. This will not stop it from doing this every time, but it will cut down on a lot! You can also tell it ONCE (hopefully!) what action to take when you put in a CD or DVD, etc.
This one was driving me totally nuts, and also making me feel that Microsoft was trying to be Big Brother in knowing what I was doing every minute! This is how to stop this from coming up in your face every time there is a glitch in one of your programs. :)