Generally that only means that you have a station / disk called E, and there's nothing in it. Like a DVD station, with no disc. I have two of them, but right clicking gives "Insert a disc". So it's clearly something connected to E.
Agree with Trouble, it could be a residue of an emulation, or even a physical disk [you have removed].
If you have used something like MagicISO or other programs, using virtual discs, you may have a leftover. Plain reason says, check what you have lately installed / uninstalled, get rid of everything. Or at least, get familiar with it. Nothing lethal, necessarily.