This is not quite a problem. I mean not a big one. I know I can delete one of the entries, but so as you to know guys, the game appears twice.

The same has happened for me with Unreal Gold and Unreal 2, so maybe it's something to do with the GOG installers? However, Earth 2160 has not added any entry onto the Game Explorer. Also, you'll find that of the two entries, one can be deleted (as if it is a shortcut manually added to the Game Explorer) but the other can only be hidden (as if it is an automatically added entry).
But as you say, it's not really a problem.

Same happens for me, but in Add/Remove Programs window. Does it for Broken Sword.

I've just installed Unreal Tournament Game Of The Year Edition. Checking the Game Explorer in Windows Vista it had one entry that was created by the GOG installer, using the GOG game box image. The option to delete (Remove From List) is present.
However, after running the game for the first time, I think Windows Vista then picks up on it and adds it to the Game Explorer itself, because then a second shortcut is added, using a different image, and it can only be hidden, not removed.
So, the GOG installers are adding an entry and then Vista identifies the game on running it.