There is no native feature in XP which will automagically delete data files unless you are saving these .jpg files in a temporary location and have your browser (or a third-party "cleaning" program) set to clear out or not save Temporary Internet Files. Without knowing anything more about your computer - including its virus/malware status - I'm afraid I can't help you. I would like to but you just aren't providing anything with which I can work.
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