Malwares may be acquired in many ways and one of them is through the ""autorun.inf"" file. Autorun automatically launch an application through memory stick, cd or even diskettes once you insert it up.
There are two ways of disabling autorun. First is through the manual way through the regedit. This site will show you how http://antivirus.about.com/od/securitytips/ht/autorun.htm . Second is through the help of an anti virus software. There are other anti viruses out there that help prevent the spread of malwares through the autorun and one of them is Panda USB Vaccine. It doesn't matter how you do it as long it keeps your computer free from malwares.
Just be reminded before you do any changes on the registry (if you're doing it the manual way) to backup it up first. If you're uncertain of what you're doing chances are your windows might not run properly.