The nuke.Panel enumeration pulldown cannot handle strings in the values. You would have to replace any spaces with another character(s) and then create the pulldown.
p = nuke.Panel('my custom panel')
paths = [i.replace(" ", "-_-") for i in os.walk('E:').next()[1]]
p.addEnumerationPulldown('my choices', paths)
ret = p.show()
Ultimately, it's probably better to use a PythonPanel instead if it can fit your needs. It can handle spaces in an Enumeration_Knob attached to the panel.
import os
import nuke
import nukescripts
p = nukescripts.PythonPanel("foo")
k = nuke.Enumeration_Knob("bar", 'bar', os.walk('E:').next()[1])
p.addKnob(k)
p.show()