Recognizing CD Aoromatically

When I put a cd in my drive using XP windows opens a screen asking what I
want to do with it.It has choices such as Media Player,Burn Cd,etc.
On my Laptop with Vista it does not open this window.I have to use Computer
click on drive to open.There must be a setting to make it automatically
recognize the cd when putting it in drive??

Thanks in Advance
Doug