I want to create Auto run CD, but I want
First time Auto run is default, then I want open is default
How can I create this auto run file
If anyone know please reply

You would have to install a file onto the user's compute rthat the software on the disc searches for before auto running (but it would still have to auto run this software) It wouldn't be true one-time autorunning, but it might get you the results you are after.

I don't know how to do it, however :)

Basically you have to create an Autorun.inf file on the CD. This would then start running a program that edited or replaced the Autorun.inf file so future uses would act differently.

You might want to check out this articel:
HOW TO: Create an Autorun CD-ROM for Applications That You Create by Using Microsoft Visual Studio .NET

Note: if what is on the CD is not a stand alone executable, then the PC would have to have a program to run the file types.