I know that I'm responding to a VERY old thread, but in case anyone else happens to ask this question, I figured I'd answer it.
The thumbs.db file is a hidden, archived system file that is generated when explorer creates a thumbnail image for your screen to display.
This file is set as a 'system' file, and can be a pain if you are trying to remove/delete a directory.
It can also cause the dreaded 'Program must be shut down' error when viewing your explorer window if the file should become corrupted.
Fixing the problem is not as hard as it may look.
If you just want to delete the entire directory:
First, open a DOS prompt and navigate to the directory that is giving you the problems.
Then, type in this: attrib -a -h -r -s . and hit enter.
This has the effect of removing the 'archived' , 'hidden', 'read only' and 'system' attributes for every file in the directory.
The next thing to do is type this: del . and hit enter.
That will delete every file in the directory.
If, however, you only need to delete the thumbs.db file (which you wont be able to see if it is hidden), you would do it this way:
Using the DOS prompt, navigate to the directory giving you problems.
Type in this: attrib -h -s -r -a thumbs.db and hit enter
This will remove the attributes that are hiding the thumbs.db file, so you can delete it.
To delete it in that same DOS window, just type DEL Thumbs.db and hit enter.
That should solve your thumbs.db problems