Go to your folder options and make sure you have the circled items on this image selected as they are in the image.
If you do and it still isn't creating a Thumbs.db file then that is because these files aren't supported by windows natively. They just have an image preview handler and the preview images are being handled by an explorer extension (which would never use the MS Thumbs.db file). If it is an extension and it is caching the previews it isn't saving the cached info in Thumbs.db.