For some reason, Adobe saw fit to remove PSD thumbnail generation with CS2. I'm not sure if it was an oversight on their part or a deliberate action in order to encourage the use of Adobe Bridge over Windows Explorer, but whatever the reason, it's pretty annoying. I just found a solution, and figured I should share it here.
I actually didn't notice the problem myself until just today. A few days ago, I'd done a little Fall cleaning on my hard drive, which meant, among other things, removing all the previous versions of Photoshop that had been just sitting there, taking up space for years. Apparently, the PSD thumbnails went into the trash along with all the old Photoshops.
When I noticed this afternoon that my thumbnails were no longer functioning, I did a little googling, and among the numerous complaints I read on the subject, I found one person's comments included a fix. Here is a free PSD thumbnail generator for Windows. I'm not sure if there's a Mac version, or even if the problem exists on the Mac in the first place, but Windows users, I'm sure you'll find it useful as I have.
Just download the file, unzip it, and follow the very simple installation instructions. All your PSD's will be thumbnailed instantly in any Windows Explorer window. That includes the File->Open dialog in almost all programs, and MyComputer (provided of course you're viewing in thumbnail mode).
Oh, and while we're on the subject, if anyone wants a TGA thumbnail generator, you can get it here, courtesy of greggman.com.
EDIT: I just found this great article outlining what happened to the thumbnails with CS2, and how to solve the problem for Photoshop and Illustrator.