It's called "AutoStart", and it's not as simple as just placing a
specially named file on the CD.

From http://devworld.apple.com/qa/qtpc/qtpc12.html
<quote>
The AutoStart feature is only available on HFS volumes because AutoStart
relies on information located in block zero of a HFS disk or partition. The
first two bytes in the sector of block zero should be `0' (zero) or `LK',
although this realistically should be limited to just 0 since LK designates
a HFS boot volume. The name of the AutoStart file is stored in the area
allocated for the clipboard name. This area begins 106 bytes into the sector
of block zero with the first 4 bytes at this offset containing the hex value
0x006A7068. This hex value indicates that an AutoStart file name follows.
After this four byte tag, 12 bytes of space remain starting at offset 110.
In these 12 bytes, the name of the AutoStart file is stored as a Pascal
string giving you up to 11 characters to identify the file. The file must
reside in the root directory of the HFS volume or partition.

You may designate either an application or a document as the AutoStart file.
If you choose an application as the AutoStart file, it may be visible or
invisible in the root directory of the volume, however, document files must
be visible. Additionally, you may select an alias file as the AutoStart
file, but it too must be visible in the root directory of the volume or
partition. If the AutoStart file is a document or an alias to a document,
Quicktime will ask the Finder to launch the document as if it had been
double clicked from the Finder. If the creating application is not
available, the Finder will issue its normal warnings or use Macintosh Easy
Open if available.
</quote>

   If you're going to be pressing professional CDs, you'll probably want to
talk to the guy in charge of that hardware. If you're gonna be using a
standard CD-R burner, you can buy software to handle the volume partition
stuff for you.

   I'm told "Toast" from Roxio will handle this, but I've never tried the
software myself.

   - Oliver