You can stop the enabling of thumbs caching by going to
My Computer>>>Tools>>Folder Options>>View
Do not cache thumbnails
You can just do a search on your computer for thumbs.db
and remove them
A batch to clean out the remaining
Use at your own risk

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Open a Text file on your desktop
Copy and paste the contents of the quote box to it
@echo off
cd /d c:\
attrib +a -s -h -r thumbs.db /s
del /s /f thumbs.db
@exit
Save it as the name
clean.bat
Close all windows and double click on it
Hope that helps