Вызовите GetDriveType API.
Edit:
UINT driveType = GetDriveType(lpFileName);
if (driveType == DRIVE_FIXED)
{
/* fixed drive */
}
else if (driveType == DRIVE_CDROM || driveType == DRIVE_REMOVABLE)
{
/* removable drive */
}
else
{
/* other case e.g. network, RAM disk */
}