For those of us who prefer shooting NEF (raw) files: If the thumbnail images in Windows Explorer have disappeared, you can easily fix this by applying a simple Registry hack, described here:
http://www.earthboundlight.com/phototip ... p-sp2.html
The fix is done by double-cliking on a normal text file with a .reg file extension, containing the following text:
Windows Registry Editor Version 5.00
If you have this problem on a PC running Windows XP SP2, you can also download this official Nikon NEF Thumbnail Updater
(although it seems overkill to download a 592 KB file when a simple Registry fix will do, but the decision is all yours).