I have WDTV Live, not Plus, but it should be functionally identical.
Here’s a sample from a drive attached directly to the WTDV:
Animated [folder]
folder.jpg [thumbnail for the “Animated” folder]
Ice Age [folder]
folder.jpg [thumbnail for the “Ice Age” subfolder]
2002 - Ice Age.jpg
2002 - Ice Age.mkv
2006 - Ice Age 2 - The Meltdown.jpg
2006 - Ice Age 2 - The Meltdown.mkv
2009 - Ice Age 3 - Dawn Of The Dinosaurs.jpg
2009 - Ice Age 3 - Dawn Of The Dinosaurs.mkv
folder.jpg
Shrek [folder]
folder.jpg [thumbnail for the “Shrek” subfolder]
2001 - Shrek.jpg
2001 - Shrek.mkv
2004 - Shrek 2.jpg
2004 - Shrek 2.mkv
2007 - Shrek The Third.jpg
2007 - Shrek The Third.mkv
2010 - Shrek Forever After.jpg
2010 - Shrek Forever After.mkv
1964 - Rudolph The Red-Nosed Reindeer.jpg
1964 - Rudolph The Red-Nosed Reindeer.mkv
etc…
Some of my folders have no further sub-folders, and are just a collection of media files and their thumbs.
My shared folders on the PC are identical in layout except I use a period to hide the thumbnail files:
Movies [folder]
.folder.jpg
Alien [folder]
.folder.jpg
.1979 - Alien - Director’s Cut.jpg
.1986 - Aliens - Special Edition.jpg
.1992 - Alien 3 - Special Edition.jpg
.1997 - Alien Resurrection - Special Edition.jpg
1979 - Alien - Director’s Cut.mkv
1986 - Aliens - Special Edition.mkv
1992 - Alien 3 - Special Edition.mkv
1997 - Alien Resurrection - Special Edition.mkv
etc…
My thumb files are 200x300 and usually generated with Thumbgen, but I’ve made some manually as well.