It is because flies have only two wings that their order is called "Diptera". The second pair of wings is replaced by a pair of knoblike structures which can rotate over a wide range. These structures, usually called "halters", act as stabilizers and allow flies to do things they wouldn't be able to do if they had two pairs of normal wings.

In this case the halters actually look more like paddles than knobs. It is possible that they unravelled when the fly died or perhaps this is just a characteristic of this species. Note that the halter is covered with tiny hairs which are barely visible even at 400X.