It may be a autorun.inf file which automatically gets executed when you doubleclick and hence the program which gets executed,needs something to open it.
You can do one thing, check for the autorun.inf file in the root of the drives. If you find any delete it.
If you cannot delete it, do one thing. Download Noob-Killer and do a 8-X Kill and it will clear out the malware. Or you can manually remove it by selection 'browse for file'.
Link:
www.freewarefiles.com/Noob-
Killer_program_42299.html
If you right click on the drive, you will see a Autoplay option. You can alternatively open the drive by rightclicking and selecting Open.