Depending on how you have your Mac set up, and what you have installed on it, you may see a number of files such as "$RECYCLE.BIN" and "Thumbs.db" appear in various folders. These files and folders are the Windows equivalent to the notorious .DS_Store files that OS X litters on Windows and Linux shares, and there are several reasons why you may be seeing them:
When Windows computers access your shared folders, they may create a preview database with the "Thumbs.db" file. Disabling the SMB protocol for your shared folders (done by selecting "Options..." for file sharing in the "Sharing" system preferences) will prevent this, though it will also prevent Windows users from accessing your files.
Drives used on Windows machines may pick up these files, so if you have a thumb drive or other storage device that you mount on both Windows and Mac computers, you will have the fortune of seeing hidden files from OS X in Windows and vice versa.
Mirrored folders in Virtual Machines
If you have Windows running in either Parallels Desktop or VMWare Fusion, and have enabled the options to mirror your desktop, documents, and other folders to the guest OS, you will see these files appear in OS X. There is really no way around this, but hopefully the virtualization developers will implement some sort of filter for these files in shared or mirrored folders.
Some files such as the Thumbs.db file can be disabled in Windows, so if you have a personal PC with Windows on it (ie, VMWare or Parallels), you can set it to prevent caching of thumbnail previews; however, this may not be possible for computers connecting to your networked shares.
Unfortunately the options for hiding files in the OS X Finder are either incomplete options or only temporary workarounds for these files. For instance, one approach to getting rid of these annoying files is to set them to be hidden in OS X, which can be done with the "chflags" or "SetFile" (developer) commands in the terminal to change the Finder flags; however, if these files are updated by Windows the flags will not be preserved and they will reappear. Likewise, if you add the file name to the ".hidden" file at the root of your hard drive, it will only pertain to the files at the root of the drive, and not for others deeper in the filesystem.
I imagine these kinds of hidden files popping up is something that will never be properly addressed by either Microsoft or Apple, and should be something to expect if you work in a mixed-platform environment.
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