Thumbs.db is a file existed and used in Windows XP, Windows Server 2003, and Mac OS X to store thumbnails cache of various graphics.
In Windows XP, the hidden thumbnail file which is thumbs.db are placed at the same location of the images but in Windows Vista/7, the thumbnail files are stored.
Windows Vista uses thumbcaches instead of thumbs.db caches.
Thumbs.db is an image cache which makes thumbnail viewing faster. The file is automatically created in Windows Vista, 7 and 8 whenever.
Also worth knowing: In Vista and Windows 7, Thumbs.db applies to The registry equivalent for disabling Thumbs.db creation on network.