Here's a site with the missing file and reg entries with simple instructions.
http://creativebits.org/no_psd_thumbnail_in_windows_explorer
This will solve your problem.

PS Just FYI, if you just go to www.google.com and search keywords for help on such things, you'll find the answers faster than posting in a forum like this. All I did was search "psd thumbnails windows" and one of the answers was this site above.

I hope this helps you in the future.