If your secondary drive has it's own file permissions, like say you have an other copy of windows installed on it. It will prompt.
It will also prompt if files are in use, which sometimes occurs if you have windows explorer open to the same directory and the file selected with a file previewer displaying the contents... there are some other oddities, but generally you get asked for file permission if the file is in use or it's a sensitive directory.
If you do loop the FolderBrowserDialog , make sure to notify the user why, so they dont get mad at your app.
Note: it does stink there is no .net way of asking for permission, maybe p/invoke the win32 api...?