Whenever I try to compile a LaTeX file on a NTFS or external FAT partition, Kile claims:
[PDFLaTeX] Sorry, the file /sda5/.../(filename).tex does not exist.
Kile bug report is submitted. The problem seems to have something to do with the KIO slaves (thanks to the bugs.kde.org people for pointing that out immediately). Navigating by point-and-click in the "Open file" dialog invariably gets you the media:// slave, while using the mount point specified in fstab (e.g. /windows/D/.../) makes Kile find the file. If you don't like typing paths - set a bookmark in the Kile file open dialog.