Thumb drives are a standard part of any PC repair toolkit, but once you've used them on a suspect PC, you should always scan them for viruses. Here's how to scan for viruses directly from the AutoPlay dialog.
Over at the How-To Geek site (my home away from Lifehacker), guest writer Ramesh put together a registry hack that will add "Scan for Viruses" to the AutoPlay dialog, so you can immediately scan the thumb drive with Microsoft Security Essentials when you insert the drive. If you find it's something you use every time, you can even head into the Windows AutoPlay options and set it as the default action.
You'll need to make sure Microsoft Security Essentials is installed, install a script and a registry hack, but once you're done, you'll be able to scan thumb drives, external drives or even CDs directly from the AutoPlay dialog. Hit the link for the full installation walk-through and the downloadable registry hack.