Confuse about the missing files and folders in your removable device such as thumb drive, microsd card, SD Card, phone memory or external storage drive. Or maybe when you open this device there is a shortcut icon or folder with an arrow.
Your removable storage device might infected with Win32 bundpil virus, Autorun inf virus or ztorsftdgh vbs rootkit. These viruses are notorious to do their best job; making your external device a virus carrier.
By the way this flash drive is infected with ztorsftdgh.vbs virus which hides the files and folders and create a shortcut icon.