No, Windows manages the CDROM on its own. When your in Windows it doesnt use MSCDEX. If I remember correctly, newer versions of Windows such as XP don't use autoexec.bat or config.sys whatsoever. Though even in earlier versions of Windows you wouldnt need either one. They could just be blank.
Autoexec.bat and config.sys was mainly used in DOS to load hardware, high memory settings, etc. I believe Windows 3.1 and 95 still used both frequently though.
Your best option is to disable the CD burner in Device Manager. Editing those files would be nothing but a hassle even in the case that it did work (which it wont). Plus loading MSCDEX isn't that simple. You have to know the right command parameters to load it correctly. Remembering those would be a headache to disable/enable frequently.
Although you could also just place a "REM" in front of the line in config.sys or autoexec.bat, which would do the same thing as disabling it because the computer wouldnt actually run that line in the file. You could really even place a bunch of crap in front of the line such as "jashjdhajsda" so that mscdex isnt ran but you would just confuse your PC (like it matters though). It would just say "bad command or file name".
If that was the route that I personally took I would place a line like this in the autoexec.bat
echo *** MSCDEX off *** c:\cdrom\mscdex command line paremeters
then you could just remove the "echo *** mscdex off***" when you want the cdrom to work.
Though, again, this option would only work in DOS, not Windows.
I still say the Device Manager option is the way to go, unless someone knows of a simpler way. I can't think of one at the moment.