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
File Explorer for win 8
Turn off the caching of thumbnails in hidden thumbs.db files.
Enable it and hit
To delete ones already created you can
right click ->
Properties on the drive from
My Computer, hit
Disk Cleanup, tick only
Thumbnails and hit
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
DisableThumbnailCache doesn't exist, create it as a new
reboot may or may not be required