one thing you could do is put a cd in the drive, that would allow you to cancel the message.
where you go from there depends on what the folder is and where it originated from.
if it is a shortcut to a game or prog that runs from cd that would explain the problem, as the shortcut will be trying to search for the correct cd.
is it only one folder, is it all folders, what windows are you using.
right click on the folder and choose properties. see if there is a location described which points to a cdrom drive, if so change it to C:\ and apply.
best i can offer without more insight.