Brake pads fall out of the caliper and stuck between the caliper and the disk At one moment the bike just stuck with this problem. 

The brake pads fell out of the caliper and got stuck between the caliper and the disk.

I repaired it by detaching the wheel and getting it back inside, but now it keeps happening all the time.

How can this problem be solved? Is it adjustable or do I need to replace the pad or the disk/caliper?
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.