When you have a Abobe Lightroom installed, the software tries to be more clever than we are. When you insert a SD card (or USB stick) into the card reader (USB socket), the Lightroom opens automatically which is often unnecessary and annoying.
How to avoid it?
For sure you do not have to look for any settings just in the Lightroom. Rather than this you need to go to a control panel and change settings for AutoPlay: