Unplug the second hard drive and see if your system works without it. If so, then the other folder is safe to remove. You could also just rename the folder first, use the system for a few days, that way you can recover if it's a problem.
Also, use the Registry Editor (regedit.exe) and do a search for
F:\Windows, that way you'll know if any programs are referring to that folder. You can also do a full text search of your drive for references in any files.
By the way, these are "folders" or "directories", the Windows and System Volume Information (used for System Restore), not files.

Although I think in NTFS they might technically be just files but they're referred to as folders or directories in all operating systems to distinguish them from data files.
How it got there is anybody's guess. Maybe you or another user of your computer just accidentally copied and pasted it.