I'm betting what you are seeing is one Mailbox (Exchange) and one Personal Folders (PST file). That's fairly normal when you first set up Outlook with Exchange if you don't close the PST file. I'd right-click the Personal Folders and choose Close. That should leave you with just the Exchange mailbox. Hopefully whomever set this up for you didn't set the Personal Folders file to be the default delivery location for messages - that would be unfortunate.