Use the Windows API function GetDriveType().

Example:
procedure TForm .Button Click(Sender: TObject);
begin
  case GetDriveType('C:\') of
    0              : ShowMessage('The drive type cannot be determined');
                   : ShowMessage('The root directory does not exist');
    DRIVE_REMOVABLE:ShowMessage('The disk can be removed');
    DRIVE_FIXED    : ShowMessage('The disk cannot be removed');
    DRIVE_REMOTE   : ShowMessage('The drive is remote (network) drive');
    DRIVE_CDROM    : ShowMessage('The drive is a CD-ROM drive');
    DRIVE_RAMDISK  : ShowMessage('The drive is a RAM disk');
  end;
end;