D80 NEF + JPG Problem

My D80 is working great in NEF mode but when I choose NEF + JPG in any of the three options (Fine, Normal or Basic) it is not saving the files correctly. When reviewing the photos in-camera, they show that they are RAW+Fine or whichever setting I chose but when I connect my camera to download the photos, there is no NEF file, only two jpg files with the same name. One has a blank file type and the other appears as a jpg.

Has anyone else had a similar problem? Could this be a firmware problem?

Thanks in advance!
Anne