If you're not comfortable with Microsofts way on editing the Registry to do this...
To editor the Registry...
http://support.microsoft.com/kb/155217
Then try this way instead..
Go into My Computer...Right click the drive...Click Properties then Auto Play.
From there you can select say...Music Files...tick the box where it says 'Select an action to perform' then highlight an action...ie: Play using Windows Media Player...click apply then go back to the drop down box and select what you want it to do with the next one..ie: picture files select 'Open folder' or 'Download from camera' etc.
You can also select 'Prompt me to select an action' for each one.