Автор: http://www.swissdelphicenter.ch

function IsOnLocalDrive(aFileName: string): Boolean;
var
  aDrive: string;
begin
  aDrive := ExtractFileDrive(aFileName);
  if (GetDriveType(PChar(aDrive)) = DRIVE_REMOVABLE) or
    (GetDriveType(PChar(aDrive)) = DRIVE_FIXED) then
    Result := True
  else
    Result := False;
end;

// Example, Beispiel:

procedure TForm1.Button1Click(Sender: TObject);
begin
  if OpenDialog1.Execute then
    if IsOnLocalDrive(OpenDialog1.FileName) then
      ShowMessage(OpenDialog1.FileName + ' is on a local drive.');
end;