CCleaner only cleans the system drive (unless using includes) so I'm not sure why it is trying to clean something on drive F, unless it is your system drive.
On the same tip of includes you can use excludes to tell CCleaner not to clean your protected files.
If turning off Recycyle Bin doesn't work: Try Turn off all check marks, and slowly adding each check mark one-by-one and running clean (after each check mark) until the message comes up, please then report back with which box it was so we can help more.
EDIT: is F a hidden drive (such as one made by TrueCrypt)?