Mounted Volume came out of no where

I found a file in my hard drive that was called a Mounted Volume. It was created 3 hours ago but 3 hours ago I was playing games. Inside the folder is just like a copy of everything in my hard drive I looked up what a Mounted Volume is and I never did the step to make one and I can't use that method to remove it This is how it told me to remove it # Use Disk Management to right-click the NTFS volume to be unmounted, and press Change Drive Letter and Path .
# In the Change Drive Letter and Paths for dialog, select the mount point you want to remove and then press Remove .
# Press Yes when prompted.
It does not show my C drive having a Mounted Volume. Should I just delete the mounted folder? and would a computer make a mounted volume by it self without the user knowing?