I've also started noticing this sometimes being on my Sublime Text too (Windows 7 x64). At first I thought it was the Advanced New File plugin, but the author says that's not possible as his plugin can't alter the window.
I've just loaded up a couple of projects and now it's no longer showing, but it's definitely been there earlier today and over the last week.
For reference, it looks like this:
edit: I've just found a way of reproducing the issue.
By default Sublime Text 2 does not open with the item in the Window menu. However, with ST2 window in focus, if I click the taskbar icon to make the application minimize/hide, and then click it again to restore the window, 'New File' now appears on the window menu function list.