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