This is a setting and a feature of your camera. NEF files are what is known as RAW files. They store the actual image data as it was captured by the sensor, before any post-processing is applied in camera. It stores much more information that allows for a lot of valuable post production changes, like altering exposure (to a limited extent) or recovering highlights or shadows. It also allows for improved white balancing and more precise noise reduction, in addition to a number of other advantages.

JPEG images on the other hand, are a simple image format that stores the result of post-processing work that is done by your camera immediately after taking the photo. It does not contain the raw sensor data and offers far fewer options to work with it in post, but is also more ready to be used for other purposes or by general software than a RAW image.

You currently have your camera set to save RAW+JPEG. If you change the quality settings to be either RAW or JPEG, then only one file will be produced for each image captured. If you want the highest possible quality and expect to do post production on the images, then you should shoot RAW only and adjust your images after shooting to produce final images. If you want to simply be able to post or print images as they come off your camera and do not want to do any post production work, then it should be safe to simply use JPEGs without RAW, or if you want the best of both worlds (at the cost of some additional space consumption), you can leave it as it is currently set, which is why the option is available.