I don't think it is possible.
I don't think it downloads them, rather it creates them automatically as part of the download process.
I suspect the .png is the book cover page; the .annot holds any annotations you make (and maybe your current reading position in that book).
Even more irritating is that if you download books to a device via some other route (such as free books using Calibre),
the next time you connect the device to ADE, ADE spends lots of time trawling through these books which have nothing to do with it,
and creating such spurious files.