Using Windows XP or 2000 it is normally not as easy to create a thumbnail image out of a video. To exactly doing this you can use a small application called MovieSnapshot.
With MovieSnapshot you can for example get a simple preview image for each video from a CD video archive.
You can simply drag and drop a video out of the Windows Explorer on MovieSnapshot to open the video. After opening the video look for the right point to make a snapshot of. Then you only have to save the result - and that's it. MovieSnapshot suggests the video file name plus the extension ".jpg" as default for saving the snapshot.
It supports all installed DirectShow video and audio codecs.