For a customer we created a software which will be installed at about 350 USB sticks. Now we want that this .exe is automatically executed when the stick is plugged into the
Previous answers from David Heffernan and Mofi are right. Only CD/DVD/Optical drives are allowed to specify auto run tasks.
BUT, if you identify the manufacturer of the USB chip and get the firmware management tool for this chip, you can reconfigure it and get the USB to appear as a CD drive to the OS.
If this seems an overhelming task, you can get your USB created by some companies dedicated to the distribution of multimedia content.