It's been this way since "forever". Here is a good explanation:
http://www.tuaw.com/2009/08/26/delving-into-the-iphones-dcim-folder/ In short, it's how the iPhone sorts photos for viewing on the device itself. It keeps previews and such loading "buttery smooth" when you are flipping through your camera roll.
By the way, when you are browsing in explorer, if you type * into the search folder it will let you browse all pics as if they weren't in folders. Just a quick tip.
🙂