This is caused by an autorun.inf file in the root of your machine which is placed there by spyware.
If you go to the file and folder options and set to view hidden and protected files, as was suggested by Shaharyaar, and still cant see the autorun.inf under the root then you can go to the command prompt and while positioned in C:\> Type the following:
attrib -S -H -R autorun.inf
del autorun.inf
You will then be able to open the drive by double clicking on the drive letter in Explorer.
Be advised though it is very likely that the spyware will replace that autorun.inf automatically so I would advise you run and antivirus scan and a spyware scan.
i think if you hold the shift key down which double clicking you use the[open with] command, which looks like your problem.