As an addendum to the other answers, to prevent creation of thumbs.db in Windows Vista and above (7 etc) you should not go into folder options and disable thumbnails, you can have your cake and eat it too.
Just open the Local Group Policy Editor (
+R and enter gpedit.msc) and go to;
User Configuration -> Administrative Templates -> Windows Components > Windows Explorer
or File Explorer for win 8
And edit Turn off the caching of thumbnails in hidden thumbs.db files. Enable it and hit OK.
To delete ones already created you can right click -> Properties on the drive from My Computer, hit Disk Cleanup, tick only Thumbnails and hit OK.
If you cant access the LGPE (e.g. MMC could not create the snap-in) or it just plain didn't work you can dabble in the registry;
HKEY_CURRENT_USER -> Software -> Microsoft -> Windows -> CurrentVersion -> Explorer -> Advanced
set DisableThumbnailCache to 1
If DisableThumbnailCache doesn't exist, create it as a new DWORD
reboot may or may not be required