I think it is a file that stores thumbnail previews of pictures in a folder, used by Windows and the file is usually invisible on Windows. You can delete it because the file is not used on the Mac. If you were to move the folder back to Windows, Windows would regenerate the Thumbs.db file.
There are similar files that go the other way. There is a file called .DS_Store that is in every folder on your Mac, but invisible. It stores folder details like icon positions and sort order. If you copy a Mac folder to Windows, the .DS_Store file becomes visible on the Windows side, where it is as useless as Thumbs.db on the Mac side.
