It seems that Adobe is the program associated with JPG files on your computer.
You can change that, if you want, by right clicking any jpg and "Open with..." and choose another program, be aware of the "Always use this program..." box that you can check/uncheck. You may not want to do that if you use Adobe as your main editor/viewer, but it's easy to switch programs.
The thumbnails I find useful to locate an image faster if I cannot recall the filename, or even the folder it's in. Which is quite often.
You can change the view to not show the thumbs, if you wish, too. Open the folder and choose View from the drop down menu. That will show your options to view as thumbnails, icons, a list of the filenames, etc.
I'm betting there's a setting in your Adobe PS that is automatically saving a copy (if not the real file itself) in the My Documents folder by default. You should be able to change that too - not having PhotoShop, can't help you there - but I bet it's in there somewhere.