Does it happen with all files that'd normally get a thumbnail, all image files, all .gif files, or just the image that you have selected? The reason I ask is because of the fact that I once had a similar problem. It turned out that a .jpg file of mine used some sort of non-standard compression and, as a result, wouldn't display properly in Explorer. Did you try opening the file in an image editing program and resaving it?
I don't know if it'd work, but you might want to visit your File Properties (you know, the dialog where you assign what program opens a file based on its extention?) According to mine (which displays files correctly), they should be set to:
Application to perform action:
"F:\Program Files\Internet Explorer\iexplore.exe" -nohome
Use DDE is checked
DDE Message: "file:%1",,-1,,,,,
You know I did that and it opens up the .gif file but it does not show the preview on the left side. It's just that small problem happens and it could really piss a person off . But thanks anyway cluthu.