Allow apps to use your external and removable storage devices
Some apps and websites can access your external and removable storage devices to provide you with services and features. For example, an app might create a backup file on an external storage device.
To authorize an app or a website to use your external and removable storage devices, click OK in the dialog. If you don’t want to authorize the use of your external and removable storage devices, click Don’t Allow.
If you allow third-party apps or websites to use your external and removable storage devices, any information they collect is governed by their terms and privacy policies. It’s recommended that you learn about the privacy practices of those parties.
You can review and change your privacy settings using the Privacy pane of Security & Privacy preferences.
Choose Apple menu 
> System Preferences, click Security & Privacy, then click Privacy.