procedure WMDeviceChange(var Msg:TMessage); message WM_DEVICECHANGE;

procedure TForm1.WMDeviceChange(var Msg:TMessage);
const
  CD_IN  = $8000;
  CD_OUT = $8004;
begin
   inherited;
   case Msg.wParam of
     CD_IN: ShowMessage('CD in!');
     CD_OUT: ShowMessage('CD out!');
   end;
end;