Is it because the windows auto run dialog pops up? If so just set it to 'no action' and check the box that says always do that action.
If it's not the autorun dialog then maybe some other app is set to start already when a dvd is inserted? maybe reset the default action on dvds.
edit:
To check what the default setting is, or to change it follow these steps. (taken from
http://www.winbookcorp.com/_technote/WBTA20000846.htm)
1 Open My Computer, by either selecting it from the Start menu or by double-clicking the icon on the desktop, depending on how you have Windows XP configured.
2 Locate your CD/DVD drive (it is normally drive D
and right-click on it to bring up the context menu and then click on Properties. Select the AutoPlay tab by clicking on it.
3 Select the content type you want to modify from the top box by clicking on the down arrow. The content (types of files and disks) you have available as choices will depend on the kind of drive you have.