When you hold the mouse over the icon does it show the volume? If you left click, do you see the blue circle while it opens?
This might be one of those things that don't seem to work as they should, which might mean some type of corruption. I have not found so far any setting for it, but I will keep looking. Try moving the icon to another location.
Hopefully, it isn't your mouse doing some type of double clicking since you only need to click once.
Operating System Win 7 x64
Computer Type Homebuilt
OS Service Pack 2
DirectX Version 11
CPU Type and Speed i7 3770K
Motherboard Chipset Asus P8Z77-V Pro
System Memory Type 16 GB Kingston
Video Card Type and Speed Nvidia GTX 680 (2)
Computer Monitor LG 27" (3)
Hard Drive Kingston 240 SSD
Optical Drives LG WH12LS30 Blu-
Modem-Router Type Linksys E3000
Network Adapter Intel Gigabit
Anti-virus Software MSE
Computer Skill Level Average Ability
Windows Experience Index 7.7