I've noticed the same thing with Outlook which I use at work. I haven't played with it to troubleshoot the problem. My first step would be to search for one of the file names that you are viewing. I think everything you look at gets put into a temporary folder somewhere. If you can find the folder, you could open it from within My Computer, select all the files, and delete them.

As far as solving the problem, I'm not sure there is much you can do. You could try switching to a different default program for viewing picture files, but that likely won't help much.