Tenés que utilizar el control "Microsoft SysInfo Control 6.0", viene con vb, y utilizar el evento DeviceArrival. Te mando un ejemplo de uso:
Private Sub SysInfo1_DeviceArrival(ByVal DeviceType As Long, ByVal DeviceID As Long, ByVal DeviceName As String, ByVal DeviceData As Long)
If DeviceType = 2 And DeviceID = 64 And DeviceData = 1 Then MsgBox "CD-ROM insertado"
End Sub