I am facing a similar problem on my Windows XP Home Edition SP3.
The thumbails for all types of pictures are generating, but not for any videos including .wmv .avi .mpg. I don’t know since when this is happening, I observed this recently.
I was using Windows Media Player 11, KMPlayer v2.9.4, K-Lite Mega Codec Pack v5, Format Factory v2, Nero Vision (Nero 8). I had uninstalled these softwares and then reinstalled them one by one as I was testing thumbnails between every installation, but even though nothing worked out.
I tried to correct it by going to Windows Explorer’s Folder Options and the restoring the defaults and applying it to all folders. I cleaned my tracks, junk files, registry issues using Ccleaner & Wise Registry Cleaner. But nothing really worked out.
Please Help !!!