The AutoRun feature is really a great security risk as it automatically runs code when you connect a removable device to your PC. If you don't need it badly, it really is better to be disabled. It can be done with so ease by hacking the Windows Registry:
1. First of all find the regedit.exe from the C Drive (C:/PROGRAM FILES) and execute it.
2. Browse to 'HKLM\SOFTWARE\Microsoft\WindowsNT\CurrentVersion\IniFileMapping'.
3. Then create a key called 'Autorun.inf'.
4. Next, double-click the new key's (Default) value and enter a new value '@SYS:DoesNotExist'.
5. If you are donw with that, delete the Registry key 'HKCU\Software\Microsoft\Windows\CurrentVersion\Explorer\MountPoints2'.
6. Okay, so from now on Windows won't automatically run any code on any removable drives! You need to do that manually.
Disclaimer: Before doing any change to regedit, always create a System Restore Point to Avoid any data loss.