"Camera Connected" Message in Windows XP

1. This only pops up if you have pictures that you have not taken off yet, which you should as if your phone needs to be restored you could lose all your pictures. The camera stores so sort of a different area on the device so when you connect your computer see it just like any other camera and as an iPhone...they are two seperate things. You should take off the pictures to have your official copy and if you want them on the phone, then sync them back to libraries instead of the camera roll (which has a limit).

2. As with any device you plug into XP, go to it from My Computer, right click and choose Properties. There you will find a tab named Events. There you can change what happens when it connects. (But as noted it won't ask about it if you have no pictures on the camera roll that need to come off.

Here is an article from the apple support website that might help out.
http://support.apple.com/kb/TS1857