Now a days, USB (pen) drives are no exception for being hosts to viruses. To prevent them spreading to your local drives or to other removable devices, it is a nice idea to disable autorun feature of Windows.
Here is a quick way to do it . Type gpedit.msc in Run.
Go to - Compurt Configuration\Administrative Templates\System
Now you can see a setting 'Turn Off Autoplay". Take its properties, select 'Enabled' option and press OK.
Hmm, you are done !
There is another way to do the same. Try this if you are a geek. Use Regedit and navigate to the following Key:
HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Policies\Explorer
Look for the key "NoDriveTypeAutoRun". The default value for this key is 95 0 0 0. Change the first byte to 91 and do a restart.
Now you have just built one more wall against those dangerous bugs !!