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Try a clean reinstall of Spotify
First uninstall Spotify and then delete this folder:
After that reinstall Spotify
If you can't find the folder, try this:
Uninstall Spotify: Start > Control Panel > Programs / Uninstall a Program > Spotify
Find your AppData folder and delete all Spotify data.
Start, run, type: %appdata% and hit enter
You probably see 4 folders; enter each and see if they contain a folder called Spotify. Delete the entire Spotify folder.
Restart your computer at this point.
Reinstall Spotify (download)
If you're still having this issue, a solution is to:
That should clear out any files that no longer exist in the folders selected in your preferences. Hope this helps.
Alternatively, if you want it to auto-update when a file is removed; you can delete the "local-files-desktop.spa" file from the apps folder located at "C:\Users\#USERNAME#\AppData\Roaming\Spotify\Apps"