I just checked mine NPM10RC3 NTA3.6 and I'm not getting that extra folder created. From your description is sounds like every new report you save would create a directory with the report name and those two .jpg's in it. I have no idea why but it doesn't sound "normal."
On my box the header.jpg and spacer.jpg file resides here:
If you also have toolset it seems to put same files here:
the folder name this strange action creates will always append " _files " to the end of those names, such as: