Jan 2009 - I found the solution!
Problem: I used remote desktop to access my local Windows XP Pro server. I kept getting a pop up titled "Windows No Disk". It would not go away.
Troubleshooting: I used Microsoft Sysinternals process explorer and found that the process owning the pop up was from CSRSS. I ran TrendMicro virus scan and it said the system was clean.
Cause: I had previously used remote desktop and left my session running. When I had last connected I had allowed remote desktop to share my local drives. In this current session I had disabled local disk sharing in my RDP client. I think Windows on the remote machine was looking for that missing remote drive!
Solution: I logged off on the remote machine. I then reconnected with RDP with local drive sharing disabled. The pop up is gone.