This is a problem with your file structure, your USB stick was probably hit by a virus.
- Scan the USB drive and make sure it's clean
- Go to Computer and check your USB drive letter path (example F)
- Go to Start > Run > type "cmd" in the box (without quotes)
- In the command prompt type the following line:
attrib -h -r -s F:*.* /s /d
Where F can be replaced by your driver letter.
Check if it works and the folders are back to normal. If so, you can delete the shortcuts.