Acrobat Reader generates a thumbnail of the first page of a PDF document once you open it. Subsequently, Acrobat Reader will cache the thumbnail for later use.
Please open a PDF document and go back to My Documents. You should see the thumbnail of the first page of the PDF document.
Please also note that Acrobat Reader does not generate thumbnails for non-PDF documents (e.g. Word, Excel, PowerPoint) or password-protected PDF documents.
Hope this helps.