When viewing a folder with the Thumbnail view, WindowsXP creates a thumbs.db file. This is a cache file that contains the pictures in that directory. If you want to turn this feature off and save a little disk space
Start Windows Explorer
Go to Tools / Folder Options / View
In the first section under Files and Folders, check Do not cache thumbnails
Now you can remove any thumbs.db files on your computer. No more will be created.