No other way to do what I need I'm afraid. Not the method I'd prefer of doing it either, but I'm just the junior code monkey following instructions.
Preferably I'd like that message turned off for my site only, an intranet site which only allows access to a few selected people. But any method to turn that message off would work, I'll leave it to the users whether they want to or not.
What I'm doing is, reading users' mapped drives to the actual UNC paths so I can copy files from whatever mapped path they select.