Question: I am in the process of writing a message queue system.

My question is... Is it better to do this queue with files or in a database?

If I were to choose the database, it needs to check for new jobs every second and that just seems a bit of an overhead to me?

If it's files I guess you just constantly monitor the folder and execute based on that?

BR,

Answer: 
what are your criteria for deciding "Better"? performance? scalability? reliability? cost? 

The basic tradeoffs are:

Database - transactional support, integrity guarantees (via constraints), richer query support, *probably* will scale better (depending on implementation)

filesystem - cheaper, simpler, less moving parts (at least initially)

You may want to look at existing solutions first - MSMQ, SQL Server broker, open source libraries such as Rhino queues (<http://ayende.com/Blog/archive/2008/08/01/Rhino-Queues.aspx>)
It depends on your requirements, but if you need to queue up multiple messages as one single group, you'll need some sort of transactional support. In that case the database is your friend.