The operating system generates these when you display the folder's contents as
thumbnails. In Windows 2000 the thumbs.db files should only be visible if you
have protected system files visible. To turn this visibility off, open Folder
Options, click on the tab View and check "Hide protected operating system
files".
If you're running Windows XP, there's a different procedure involved which can
actually stop the files from being generated. I'm not aware of any way to do
this in Win2K.