Sounds like "Auto Insert Notification" is turned off.
It used to be easy in Windoze to set/unset this, but since W2K it's a little complicated so I'll bite the bullet and recommend the Plextools method:
Run Plextools and under Drive Settings|Advanced, make sure the "Enable Auto Insert Notification" checkbox is checked. You may have to restart the computer afterwards (like you have to when even the smallest config change is made in Windoze).
That should do the trick, but if not, try hitting the F5 key in Explorer after making a media change.