When exporting a PDF, two temporary jpg files are created by ExporterToPDF.java by calls in createGenerateGanttChartJob and createGenerateResourcechartJob. Neither of these files are cleaned up after the export is finished.
What should happen is that the files are manually reaped after the export is completed, or deleteOnExit (http://java.sun.com/j2se/1.4.2/docs/api/java/io/File.html#deleteOnExit()) is called on them so the JVM cleans them up when it exits.