Spybot can integrate into Explorers 'AutoPlay' dialogs. It will offer to scan removable drives, USB sticks etc. when they are attached to the system. This integration is selected by default during installation, you can disable it later on the System Integration tab of the Settings.
This dialog will only show you those options that apply to your current privilege level. For example on Vista or later, it might offer you elevation.
If you are the only user of this system, choose the 'global' option otherwise choose 'current user'. If you are not the only user of the system please consult the other users before making changes.