It might be set up to do it in Windows rather than WMP:
To turn off automatic ripping for the CD drive
1. Click Start, and then click My Computer.
2. Right-click the CD drive that you use, and then click Properties.
3. In the Properties dialog box for the CD drive, click the AutoPlay tab.
4. In the list of content types at the top of the dialog box, click Music CD.
5. In the Actions area, do one of the following:
Click the Select an action to perform option, and then specify the action you want Windows to perform when it detects a music CD in the CD drive by clicking that action in the list.
-or-
Click the Prompt me each time to choose an action option. Windows will then ask you what you want to do each time it detects a music CD in the CD drive.
One of the options on 'Select an action to perform' is 'Do Nothing', which is what you want presumably.