Brake pads fall out of the caliper and stuck between the caliper and the disk
Looks like cheaper model calliper - many of these use a small, strong magnet to hold the pads in place. It sits in a locating hole in the centre of the 'piston' (Whats the name for the non moving one). 

Unscrew the red inboard adjuster all the way and have  a look to see if there is a magnet in place (use a screw driver to feel if its there), or a hole where one should be. They are a small cylinder about 5mm diameter by 3mm.