Just to clarify, when you put a CD in you want it to auto launch your media player and start playing it ?
Assuming thats right, you can set up your auto run options by doing the following:-
Click on Start - My Computer, then right click on the optical drive, if you have more than 1 such drive you will need to repeat this with each drive, at least I thin, you would, can't say I've ever done it so not 100% there.
But with the properties window open click on the AutoPlay tab at the top, now in the drop down box is a list of various types of media, select the type of media you want to automatically do what your after, check the top check box under that saying "Select an action to perform" then select the media player you want from the list, save\exit all the way out and hopefully you will have what your after.
Should that not work, I just came across the following link, it's called AutoPlay Repair Wizard from m$, between the above and this I hope something works for you lol, hope this helps.
Actually, I bought a game, and want to load it to my computer. I pop the disc in, but nothing happens. Someone mentioned autorun must not be working, so I thought I'd ask about it here!
Then it sounds like the link I gave above would be the best option, I haven't used it, but as it's supposed to fix AutoPlay issues it should hopefully get you the result you want.