As far as I know, Windows XP (or whatever version) stores icons or pictures in this thumbs.db file but as it's hidden by default, few users seem to know this. I've seen it in torrents and archives where it was unintentionally placed by the creator. Hiding files, filename extensions by default is one of the major design flaws since Windows 95. In all these years Microsoft has learned really absolutely *nothing*. Hiding information is the number one reason why users accidently execute files and aren't aware of otherwise very obvious virus infactions[1]. To add insult to the injury Microsoft has been very successful to make the filemanager ("Explorer") less inefficient, more illogical and bloated with each release of Windows.

[1] It's no typo. The world filters here are quite brain-dead and offend any intelligent life-form.