This week's book giveaway is in the OCPJP forum. We're giving away four copies of OCA/OCP Java SE 7 Programmer I & II Study Guide and have Kathy Sierra & Bert Bates on-line! See this thread for details.
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.