Open a file in the editor, delete it in Explorer and then return to TOAD.
I get:
Confirm [Yes]
Confirm [Yes]
If TOAD loses focus afterwards and regains it, this starts again.
While screenshotting I even managed to get two at the same time:
Even two messages would be too much though, any chance to detect that the file has been deleted and display a different message? Maybe something like Notepad++?