If you are using Windows Vista or Windows 7 and are fed-up of the autoplay function that is enabled by standard there is an easy way to change the behaviour. If you go to Control Panel > Hardware and Sound > Autoplay you can disable it by un-checking the box at the top of the screen. If you just want to change what happens you can select a default function for different types of media.
If you are having this trouble while using Windows Media Player 11 and you can’t stop it from stopping the current film when you insert a disk, you could be out of luck. This seems to be a feature that can’t be disabled in media player. There is quite a lot of discussion about it online, if it does annoy you it may be a small comfort to know you aren’t alone!