Right-click on the directory (ooops, folder) that you want to see the thumbnails of, select Properties/General and check the box at the bottom that says Enable thumbnail view. Voilá!
Otherwise see
http://www.pcforrest.freeserve.co.uk/thumbs.htm
Explorer's thumbnail function is VERY slow and limited to a few filetypes. Far better to get the FREE Irfanview picture file viewer at
http://www.irfanview.com/ - very fast, no bugs, copes with almost all image file types. About 1MB for the program and 2MB for the plugins. Register (optional) by sending Irfan $10 - he deserves it
Cheers Mac