Thumb files or more commonly know as Thumbnails are small size representations of larger files normally used on the web to show a preview of a larger image so you can easily identify which picture you wish to open. As with most files they are downloaded automatically on to your PC when using the web so that next time you visit a site the file is already on your PC so there is no need to download it again (known as caching).
If you are using windoze xp, any folder that you have set to see thumbnails will have a thumbs.db (the extension is usually not shown) in that folder. It is normally a hidden folder which is created by windoze when you select thumbnails as the view type. Likewise it is automatically deleted by the system if you change to some method of viewing, eg icons.
Geoff