I guess you have following files in the same folder:
02_07-adverbs.mp4
03_02-possesive.mp4
02_09-conjunctions.mp4
03_07-numbers.mp4
I have guesses those looking at filenames of JPEG files. That makes me more certain that those aren't created by a virus. (Why would a virus create video thumbnails?)
You can delete those files. Then open some of these videos with the player you're usually using for them, close it and refresh the folder (F5). Does the JPEG file appear? If yes, then it's created by your player. Check its options to disable this feature.
It's also possible that those are created by some shell extension, video decoder etc. You can try to spot responsible shell extension with Autoruns.
It's not a virus. Some program put them there, possibly a dictionary application. Open these files to get a clue of what it might be. – gronostaj – 2014-08-16T08:29:00.220
If I open them I find a screen-shot(of some random time) of a corresponding video. – VAR121 – 2014-08-16T08:57:44.127
that maybe just because you accidentally pressed some key that capture the current video screen shot – phuclv – 2014-09-25T08:33:18.427
Nope, These files were never opened in any player at the time of this problem. – VAR121 – 2014-10-22T13:35:25.603