Those are the indexing/database files that nero creates when you burn to a CD. They can be deleted. They store info on what was burned onto the CD but aren't necessary to keep.
Many programs use them. Nero is one of the top programs that you will see these files turn up from. They won't hurt anything, they are just annoying. Normally about 32kb in size. Just delete them, they are not a threat, nor are they truly needed.
Idx files are also used along with .sub files in one type of subtitling system for movie files. In this context you should not delete them as the .sub file is useless without the corresponding .idx file.
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