In Windows if you disable the check-box beside Hide protected operating system files under Folder options, then you may notice a lot of hidden Thumbs.db files. You can find them in almost everywhere, especially in folders that has photos, images, pictures, graphics, movies, videos, etc. Windows uses these Thumbs.db files to store a cache of the generated thumbnail previews, so that Windows does not need to regenerate the thumbnails, when you access media folders in Thumbnail or Filmstrip mode and to speed up the display of the thumbnails.
In some system folders, such as My Pictures, My Videos, etc., Windows selects thumbnail view by default and creates a Thumbs.db file, even if you try to default it to other views. Once the Thumbs.db file is generated, the next time you try to access that folder, Windows Explorer may automatically change the default view for folders to Thumbnails or Filmstrip view mode.