Can't get game loaded

I have Emachine with Vista
When I put a game CD in the CD rom, you can hear it running...but the Autorun does not bring up the install screen so I can load the game. I click on the CD rom in the "Computer" window and it just runs and runs and runs and runs and NEVER brings up the contents of the CD so I can click on Install.
I have the computer set to auto-run and this does not work. Tried to set it to "Ask me everytime" and it still does not come and ask me if okay to load.

What can I do to install the new game. This is frustrating. Is a constant battle with Vista to get anything installed from a CD.

My vista is Vista Home Premium, service pack 1, 32 bit operating system