So how I do that? Follow this step by step:
1. Plug in pendrive in USB port, this pop up will come out (see below) & click on "Cancel". But some system this popup not show up. Just ignore it and goto "My Computer"
2. Right click on pendrive and select "Explore". (See below)
That it very simple. If you see "Autoplay", may be in the pendrive have a autorun.inf virus which will effected when you double click on pendrive.