If you find it annoying, here is a simple application called Disable Auto Eject that lets you disable Vista’s auto eject feature.
Remember, you really only need this fix in vista, because XP or Windows 7 don't do the auto CD tray eject thing.
To disable "auto ejecting", you need to turn off the build-in CD/DVD burning feature in vista (you can still burn CD/DVDs with other applications). This app will do just that.
You can download it free at Codeplex