If you have used vista, you may have seen option to eject the cd drives on the right click menu on the cd drive.
This feature of automatically eject the cd drives is a part of windows vista but not provided with windows XP, but this option can be enabled in windows XP using a simple freeware software called Eject CD, Download it from here.
What is Eject CD?
Eject CD is a useful, free and easy to use software. It helps you easily eject and insert the cd/dvd-rom drivers just by using the keyboard shortcuts or your mouse.