There's not a whole lot to say about CD and DVD-ROM devices. You install them (or, more often, the manufacturer does this for you), you put a disc in the drive, and it plays, the application tries to install, or whatever. Not a lot of rocket science here.
You can, however, govern what happens when you pop in a CD, DVD, or similar media (hereafter just CD) by configuring a device's AutoRun behavior.
AutoRun behavior relies on a file called AUTORUN.INF. This little file contains instructions about what to do when a particular CD is inserted. This is nothing new, but in previous versions of Windows, you could disable AutoRun for a particular CD device by using its Properties dialog box in the Device Manager.
With XP, you can still disable AutoRun, but you do it on a case-by case basis. To do so, hold down the Shift key as the CD is spinning up. (You also need to be logged on as a Power User or Administrator for this to work; if you're using you own computer at home, you will be.)
With AutoRun enabled, Windows XP looks for media files on any CD you insert, such as .mp3 or .avi, and displays a dialog box asking you what you want to do with the media when recognized. In fact, this AutoRun behavior occurs no matter what removable media you insert. It could be a USB "thumb" drive or any other external media. For example, if you attach a digital camera, XP asks if you want to open the Picture Viewer to view a slideshow or transfer the files to a disk.
You can easily disable this behavior with the check box at the bottom.