You've a Windows configuration issue not an Adobe product issue.
Right click "Computer"
go to properties
go to Advanced System Settings to bring up the System Properties
go to Performance and select Settings
make sure "Show thumbnails instead of icons" is checked off.
Another information resource: http://www.sevenforums.com/tutorials/11738-thumbnail-previews-enable-disable.html
Also, try the search string "how to show thumbnails in windows 7" with a web search engine.
Lots to pick and choose from.