It is unusual to say the least, i have music on external drives and they play fine and im always transfering files between drives internal and external, so i dont know what you done lol.
The only other thing i can think as a maybe is that, as you have installed the player on C: it maybe only wants to auto recognise the files that are on the main C: drive, but probly unlikely.
You will probly end up having to re-install the player, or try installing another player maybe?