i have done this.  i have in fact left VS2003 with VA 1432 sitting here for about 1 hour, and i still have 4 files in the directory.  using a dos prompt and "dir /A" the listing is:
05/12/2005  23:40    <DIR>          .
05/12/2005  23:40    <DIR>          ..
05/12/2005  23:39            19,456 file_creation_test.ncb
05/12/2005  23:36               925 file_creation_test.sln
05/12/2005  23:39             7,680 file_creation_test.suo
05/12/2005  23:39             3,460 file_creation_test.vcproj
               4 File(s)         31,521 bytes
               2 Dir(s)  17,341,202,432 bytes free
it is safe to say i am not seeing any files being generated.  i followed the instructions (which were nice and clear) to the letter.
do you have any other plugin's installed?  what is in these files?  can you reproduce this on a different machine?