My Sandisk Cruzer shows the same two exact options.
To use the U3 software click the CD drive (E).
To directly access files click the Removable Disk (F).
There is nothing wrong Windows is reading it as two seperate drives, one thru the U3 software and second by direct access.
If you look the MB size is different so Windows sees 2 drives plugged in.
Just an oddity not a problem.
I thought it very strange the first time I plugged mine in until I realized what it was doing.