Summarize:

If you don't see all of the System Preferences options, click the Show All button at the top of the window. You'll see this in the second section of the System Preferences menu. If you want the CD to start playing immediately in iTunes, select "Open iTunes." If you set iTunes to open when an audio CD is inserted, you can now set a more specific action for iTunes to take. You can choose to start playing the music, import the songs to your library, or display the contents of the CD. Audio CDs will now automatically play in iTunes when they are inserted.
Click the Apple menu. Click System Preferences. Click CDs & DVDs. Click the When you insert a music CD menu. Click the action you want to take. Open iTunes. Click the iTunes menu. Click Preferences. Click the When you insert a CD menu. Click the action you want to take when a CD is inserted. Click OK.