I'm using windows XP, and I have my 'downloads' folder view set to 'thumbnails', and this mysterious photo keeps showing up in the folders view. I placed 4 other images into my download folder, but they would not show in the folder's view. Only this mysterious photo keep showing as the folder's view.
I tried to change the icon of this folder to it's default icon, and the image kept coming back. There were no images of any kind in my downloads folder.
I removed all the files from the download folder, yet the folder's size showed that there was something there that was 24.80kb in size, with nothing in the folder. I then deleted the folder and created a new 'downloads' folder, and the image went away. Everything's back to normal now.

What do you think might have caused this to happen?

Is Windows set up to show hidden files?

Yes, I have my folder options set to show hidden files.