There are several ways to do this depending on the platform. I would choose from the following choices:
Trolltech's Qt has an object called QFileSystemWatcher which allows you to monitor files and directories. I'm sure there are other cross platform frameworks that give you this sort of capability too, but this one works fairly well in my experience.
There is a Win32 api called FindFirstChangeNotification which does the job. There is a nice article which a small wrapper class for the api called How to get a notification if change occurs in a specified directory which will get you started.
The FSEvents API is new for OS X 10.5 and very full-featured.
Use inotify as Alex mentioned in his answer.