Run a File Whene Plug a Memory Stick

I think what you are after is an autorun.inf[^] file.

This allows you to specify actions which can be performed when a CD or USB stick is inserted. On later versions of Windows this will open a box asking the user what to do. On earlier versions it will just do whatever is in the autorun file.

Try it out. Create a new file on the USB stick and call it autorun.inf
open the file in notepad, or any other text editor and past the following into it.

[autorun] 
open=C:\Windows\System32\cmd.exe

Unplug the USB stick and plug it back in and it should either open a command prompt or ask to run 1.

Also, please don't lock your question. Some people here don't speak English very well. They may not be able to understand your question because your English is not great either.
(Sorry if that sounds like an insult, I only speak 1 language so you are probably doing better than me)

EDIT:
After reading your question again it seems that you want something that can run automatically without the use of autorun.
This is not possible. Imagine if a virus was to take advantage of this function. It could spread by USB sticks easily.

There was in fact a virus a while back which exploited a flaw in the autorun to allow this, however it has since been patched, and this is a bad thing to do. Virus scanners will detect your USB stick as malicious and delete the code.