CS5 Bridge Photo Downloader Question

The purpose of the xmp file is for CS5 to remember what kind of changes you might have applied to a given raw file. It could be your crop, your exposure or color balance etc.

It comes in handy if you have been working on a photo and for some reason need the unedited raw. Now, if you kept the xmp file, you could go into bridge and open it straight away, however without an xmp file your image would be as it was capture by the camera.
In other words, if you on the first image changed the exposure, the color and so on before opening it, you might want to get that exact same setup again, and that is possible with an xmp present.
Or it could be because you wanted to copy the settings on a single photo to several other photos.

While I work on specific photo I like having the xmp, but I will delete it once I'm done.

I'm affraid I haven't looked into how to disable it as I find it quite useful

Regarding sorting and such... sort you file folder with "type" and the shift click to select the photos, or the xmps to delete them (a new one will appear once you change the settings of a photo in Bridge)