As the previous poster said, it's probably a problem with your water.
Are you using tap water or bottled mineral water? If so, there are minerals which get nebulized along with the water, and leaves a white, dusty, residue. I fill my Crane Pig humidifier with DISTILLED water, which is pretty pure. Make sure that the water is DISTILLED ONLY, since some of the water companies distill the water and then add minerals back in (they almost got me here until I noticed the label that said "with minerals added"). The reason this is important is because during the distilling process, the water is boiled, evaporated, and then the vapor is condensed back to liquid. This removes any impurities or dissolved minerals from the water. You can see Wikipedia for more on this topic here
Additionally, I use both the Crane Demineralization Filter Cartridge
(which works for the penguin as well, and gets installed in place of the original water tank cap), and the ProTec PC-1 Humidifier Tank Cleaning Cartridge
(which I plop into the water tank) to keep the water both de-mineralized and bacteria free. I got both products at Amazon.com.
With these 3 things, so far I haven't had any white dust residue, and the mist feels fresh and clean.
On a side note, by using distilled water, you also prevent any mineralization from building up on the nebulizer or water level sensor, which can cause the humidifier to eventually stop producing mist...