Cas is a free image utility that takes a folder with images and creates one new index image containing all the thumbnails and the filenames of the images.
Drag and drop a folder onto Cas, or run it with a command-line parameter to generate a contact sheet of images in that directory.
This is a new jpg file which contains thumbnails of each of the jpg, gif and bmp images found in that folder. The background colour can be changed, as can the size of the contact sheet which is created.
You may also just run cas.exe where it is, and you will be asked for the location of a directory you would like to index.
The zip file also contains a registry import file which adds an item to the menu you get when you right-click a folder. Selecting this will then generate the contact sheet in that place. This is the most useful way to use Cas. If you use this, make sure you edit the registry file so it points at where you've saved Cas.