You haven't said which opertaing system you are using XP, Vista etc so here is a general guide.
Right click on "my computer" do you have a tab saying device manager? If you do then you need to click on this tab and it will show a list of things that make up your computer. One of these will be CDROM or similar wording. It should have a little picture of a cd next to it.
Click on the plus sign to te left of it to bring up a list of your CD drives. It will probably only show one. Right click on this and choose "properties". A new box should pop up with a tab saying "settings" at the top. Click on this and you should see a number of options for your cd drive. One of these is "auto insert notification". This should be ticked in order for your cd-roms to start playing automatically.
Hope that helps.