Yes it does! Add a file called autorun.inf to the root of the USB drive and reference an executable that you want to run. Autorun however only happens when the USB drive is inserted and the machine is logged on. The autorun feature can also be switched off by the user. These restrictions may limit the use of this feature to answer your problem.

autorun.inf

[autorun]
open=perl.exe auotorun.pl
[download]

Out of interest, you could actually copy a Perl installation onto the USB drive and use that to run the script. This would be particularly useful for doing machine audits. You just turn up, insert the USB drive. The autorun feature starts the Perl script which collects the audit information. The only thing that I haven't figured out is how to programatically unmount the USB drive once you are done.