If the CD has an executable file that you want to autorun, on the top level of the CD, create a file named "autorun.inf" containing these two lines:
[autorun] OPEN=docs\filename.exe
Use a relative DOS-style path to the file in question. If you want to be spiffy, you can create a Windows icon (ICO) and point to it (ICON=filename.ico) as well.
To burn a CD without an EXE file that autoruns, you'll need an additional program. One that we've used is a 34K program, found here: http://www.whirlywiryweb.com/q/shellexe.asp
For this to work, you'd burn this program on your CD and then use the "Open" command that looks like this:
open=shellexe.exe index.html
It will then open index.html in the right program.
See Macromedia's page on AutoRun for more information. And, see Microsoft's page on AutoRun.