Are you seeing the default icon in Windows Explorer, instead of a thumbnail preview? I was having this problem, and spent a great deal of time trying to find a solution. It was just about to drive me over the edge. This is especially frustrating for me, as I produce a great deal of video content. Most every Google search simply pointed to advanced system properties, and choosing “show thumbnails instead of icons”. This may well work for some out there. Did nothing for me, as it was set correctly.
I am really hesitant to install, or recommend installing third party codecs. Or at least not from an established commercial software provider. I was just out of options, and organizing literally hundreds of clips was fast becoming a nightmare. I ran across Shark007’s “ADVANCED Codecs for Windows 7/8/10″. Oh what the hell, I set a restore point and installed it. By god, did this not only fix the problem at hand, it added a few goodies on top. Not the least of which was thumbnails for MKV files. And now, Windows Media Player can play them too! Performance seems snappy, and all files play smoothly, even the fat .mov files out of my Canon DSLR! This is delightful, as I hate Quicktime player, and VLC has been quite broken for some time now.
Use caution when installing any third party software. So far for me, this one looks to be a great find.