I have the same issue on iTunes for Windows. I have to insert a CD twice for it to be recognized. iTunes on my Mac (mini) seems fine.
On the Mac, I do have the problem where I have to quit iTunes twice for it to actually quit. Don't seem to have that on Windows, though.
Update - Try this (If you're running Windows, via Parallels, VMWare, or otherwise):
it is safest to disable CD autoplay in XP using either local group policy or, for an enterprise, an Active Directory group policy. The local group policy editor method:
* Click Start
* Click Run
* Enter GPEDIT.MSC
Group Policy mmc will popup. On left panel:
* Double-click Computer Configuration to open submenu
* Double-click Administrative Templates to open submenu
* Double-click System to open submenu
* Double-click Turn autoplay off option which will be near the bottom of the list in the right panel.
The default is the Not configured . Set it to Enabled.
Or this registry setting:
[HKEY_LOCAL_MACHINE\SYSTEM\CurrentControlSet\Services\CDRom]
"Autorun"="0"