You don't say if you are taking the SD card OUT of the phone and placing it into the computer, or you are just connecting the phone to the computer with the card still in it.
If you are taking the card out of the phone to do this, then there is no way around what is happening to you. Nothing you can change in settings. You would need to leave the card in the phone and connect it to the computer via USB cord. This will still allow you to access the data on the card, but keep the card connected to the phone.
If this is happening when the card is in the phone and it is the phone you are connecting to the computer (which is the correct way to make the connection) then there is a problem with the phone and it needs to be looked at.