A hidden file called thumbs.db is kept within each folder in a Windows file system where a thumbnail view has been requested.
It's basically a database of thumbnail views of the fullsize image files in that folder, and is read from in order to present the thumbnails quickly rather than using processing power to re-generate the thumbnails every time you visit that folder.
If it doesn't exist, then Windows will re-create it. It is known to become corrupt (where clicking on a thumbnail of one picture will actually load another picture entirely), and this is the way to fix it. Its a hidden file though, so you won't get to see it unless you turn on "Show hidden files and folders" in the view options in Explorer.