The thumbs.db error is because xp by default caches thumbnail pics, so you can view your photos in explorer, however this file is hidden. Nero allows you to copy to hidden files to disk, hence the error, just ignore this or click ok to clear error or remove the file from your project.
However in this case you have a default option of a video cd instead of a "normal disk". If using nero burning rom choose the option of dvd-rom (iso) or cd-rom (iso) and then add phots to your disk. If you use nero express, choose data, then data disk, and again add photos and burn.