Ok,thanks for letting me know.
I tried moving SDSettings from my Spybot folder to see what would happen,and Spybot gave a warning that files are missing when I tried to run it.So,I figure your SDSettings would be present in the same folder,or you'd get the warning I did,not the message about inserting a cd.
And also looked for SDSettings in the registry,but the only place I could find SDSettings listed was under event viewer,so I don't think anything there would cause you to get the 'Insert a cd' message,unless SDSettings is hiding very well in there.
It might come down to the easiest solution being to try uninstalling/reinstalling Spybot,or continuing to put the cd in the drive when you try to access settings.
You could try going to C:\Program Files\Spybot - Search & Destroy 2 and doublechecking that SDSettings is there,and also rightclicking Properties and seeing if everything looks all right.The location listed should be C:\Program Files\Spybot - Search & Destroy 2.