For the benefit of the list lurkers...
This turned out to be quite straightforward.
The Windows API call you need is : RegisterDeviceNotification(...)
With this you register for device notifications, and then you add a message handler to your program which gets called when a WM_DEVICECHANGE arrives.
In your message handler, you check the wParam of the message for DBT_DEVICEREMOVECOMPLETE or DBT_DEVICEARRIVAL, if you have one of these then the lParam points to a struct containing more information.
You then check the device name member of the structure pointed to by the lParam to see if it contain the picotech vendor ID (which is 0x0ce9).
So now you know whether a PicoScope has been attached or removed and you can take the appropriate action.
So, as the meerkat says, "simples".