I got my Nikon D5000 a month ago and I am experiencing the same problem. When shooting in RAW+JPEG I get two identical JPEGs (I think they are the same file size as well which would suggest that the camera has not captured in RAW format) If I shoot RAW only - no problem.

I am using
Sandisk*Secure*Digital*(SD)*Extreme*III*-*4GB*SDHC Any update on the problem?
Thanks
Yordan
Update: Apparently the problem is with windows explorer and the fact that recent Nikon DSLRs cannot be set as Mass Storage Devices. Either a Card Reader should be used or the supplied Nikon software to transfer the images from the DSLR to the PC, something like Nikon Transfer to get the images off the camera. Otherwise, Windows is likely to interfere and we'll see problems like this whenever we shoot Raw + JPEG. The file that doesn't have "JPEG Image" beside it is actually the NEF, but Windows will extract the embedded JPEG from it and give that to us instead.