I understand you being annoyed by this, but it's nothing that can't be replaced by a software solution.
a good freeware file rename utility is ken rename
: Ken's Program Space: Ken Rename V0.88
latest version is from august 2009, don't mind the 2008 in the url, and there is a portable version too, and I tested it on windows 7
you will be able to reorganise easily, launch the files to check out the picture and set rules for very flexible automated renaming.
If you really need the thumbnails, we can probably look at some explorer alternative