Removable devices such as usb and thumb drives will automatically run certain files when the device is plugged in. This is what allows USB-worms and malware to spread rapidly from one computer to another. It's a good idea to change this Windows default and disable the promiscuous autorun feature.
Disable Autorun is a free utility from Comfort Software Group which helps to selectively or completely disable all Autorun capabilities for computers that run Windows 2000, Windows XP, Windows Server 2003, Windows Vista, Windows 7, and Windows Server 2008 systems.
Disable Autorun is a totally portable application, meaning that you can put it on any USB stick and run it directly from there.