After spending an hour or so searching Google on how to disable the "Thumbnail Cache" in Vista, I came up empty and decided to figure it out myself.
It was actually fairly easy, so I'm surprised that no one has been able to figure it out.

Before you start, make sure you are logged on as an Administrator, then follow these steps:

1. First, turn off thumbnail creation by opening Windows Explorer, clicking the Organize button and selecting Folder and Search Options.
   Click on the View tab and check Always show icons, never thumbnails. Click the OK button.
2. Then, run Disk Cleanup on Drive C: and empty the cache so you can recover the disk space. You can find it in Accessories/System Tools.
3. In Windows Explorer, navigate to the AppData\Local\Microsoft\Windows folder under your name.
   If you can't find it, just copy the following: %LocalAppData%\Microsoft\Windows
   Paste it into the Address Bar and hit Enter.
4. Right-Click on the Explorer folder and select Properties.
5. Select the Security tab.
6. Click the Advanced button.
7. On the Permissions tab, click the Edit button.
8. Uncheck Include inheritable permissions from this object's parent.
9. Click the Remove button in the Windows Security box that pops up.
10. Click the OK button on the Permissions Tab.
11. Click the Yes button in the Windows Security box that pops up. 
12. Close all the open boxes.
13. Open Task manager and stop Explorer.exe
14. In Task manager restart Explorer.exe by selecting File, New task and enter Explorer.
15. Go back into the Folder and Search Options and uncheck the Always show icons, never thumbnails and you're done.

Now, browse any folder you want and Windows will create the thumbnails on the fly, but won't save them to disk. I've verified that these Security Settings will not be overwritten by rebooting Windows. However, I don't know if the Explorer directory is used for anything else. I've been using Vista for over a year now and the only files in my Explorer directory were the thumbnail databases.

If you think you can do the same thing to the thumbnail database files instead of the Explorer directory, you can't. I tried that first and Windows was still able to delete them and create new ones. This is also true if you try setting the file's Read-only, Hidden and System attributes.

Don't worry about not being able to access the Explorer folder. You, as the Owner of the Explorer directory, can undo the changes, but apparently Windows can't.