I don't believe that javaw.exe does this explicitly. It's a long time ago that I was writing Windows applications in C++, but I remember that disabling that message wasn't easy.
When I run the example code, I get a small window with the title "Windows - No Disk", and the text: "There is no disk in the drive. Please insert a disk into drive .", and three buttons (Cancel, Try Again, Continue). I'm running Windows XP SP2.