Go to Settings > Devices > Click AutoPlay in the pane on the left.

You’ll see fields for Removable drive, Memory card, and other devices you’ve connected recently (such as your phone). For each one, click the dropdown box and choose a default action.

If this isn’t enough control for you, you can change AutoPlay settings for specific types of media through the Control Panel. Search for Control Panel in the Start menu to open it. Change the Category dropdown in the top-right to Small icons, then select Default Programs > Change AutoPlay settings.

Here, you have many more choices for default actions. You can pick what various types of media do, and use AutoPlay for CDs, DVDs, software, and more.

Take caution about what you let run automatically. Historically, some malware has taken advantage of AutoPlay, making it easy to infect your computer if you plug a random flash drive in.