|I've had this issue before. It is the result of a virus. You will usually see the .exe virus on the pen drive. Its relatively easy to save your files.|
The way the virus works is to create a shortcut in the name of your files and then point the target to an .exe application which is the virus.
To ensure you don't spread the, do a virus check with an updated virus checker AVG or AVAST can find it.
To recover your files go to start>run> type CMD and hit enter,
The command console should have appeared, type the following replacing the drive letter with the one assigned to your usb. e.g. E:\ (you can find this by going to my computer and seeing which drive it is using)
attrib -h -r -s /s /d g:\*.*
This makes all files visible since the virus hides the real files. Save them to a trusted area and then delete all the shortcuts and the clean the usb. Don't copy any shortcuts onto your system.