Directory write permissions check
This FxCop warning is basically asking you to make sure ("Review") that that non-constant you are passing (directory) to the security permission does not change while the permission is in effect.  Basically, FxCop isn't sure if it is possible for the code (or some rogue module that a hacker has put in place) to do something like the following:


Set directory to "c:\Temp\"
.Demand()
&lt;untrusted&gt;Set directory to "c:\Windows\System32\"&lt;/untrusted&gt;
Write something into a file contained in directory.


In this particular case, since directory is a non-ref parameter, it is not possible for another module outside your call-descendants to modify it.  Thus, what you need to check for:


Anything in this method assigning a value to directory
Anything in this method that passes directory by reference (ref/out/unsafe pointers)


Disclaimer: I am not a code security expert and have no formal training as such.  I may have missed entire classes of things to look for here. If you are dealing with code that has real-world security implications, I highly suggest you hire a consultant who does, rather than take what I wrote above as gospel.