Maybe it's different for W7 or Win in general but when you save a .psd, you want to turn on 'Maximize Compatibility' and that should get you a thumbnail
Unfortunately I didn't see a way to turn on anything like "maximum capability" when saving a .psd file on windows 7.
Got it! Here is what we found. This has something to do with the term Codec. We found a program called Fast Picture Viewer Codec. This will allow viewing .psd files in Windows Explorer when running windows 7 on a PC. It costs $20 (on sale now for $15) and has a 15 day trial subscription.
I read this problem exists because Microsoft and Adobe can't manage to work together on this!!
This issue has nothing to do with "maximize compatibility" or with the inability of Microsoft and Adobe to "work together." Its simply that since the introduction of the Adobe Bridge file browser, Adobe wants users to use Bridge to preview graphics files so they stopped releasing the dll file that enables viewing in Windows Explorer.
In the past the Sitepoint website had the dlls for enabling previews of Photoshop and Illustrator files but that stopped with CS3. So the solution is either to use Adobe Bridge to preview files created with Adobe software, or purchase a third-party codec like Ardfry or FastPicture Viewer. I personally use FPV because it allows previewing a wide range of file formats including Lightroom catalogs, whereas Ardfry codecs are sold on a per file format basis.