Windows doesn't come with the ability to show thumbnails for PSD (Photoshop) or many other Adobe file types. Worse, Adobe no longer includes a plugin allowing Windows to do this (they used to, years ago.)
For now, the only solution is to use one of a couple different third-party plugins. Most are paid, between $15-$25, some are free.
My personal favorite is Ardfry Imaging PSD Codec, $25, which also includes support for Illustrator, InDesign, and other Adobe thumbnails. In addition to providing thumbnails, it ALSO lets Windows index the metadata associated with the files, which is handy
for searching.
Other options are:
Mystic Thumbs (I can't vouch for this package, but it seems iffy. Free to $29 depending.)
Sagethumbs (Free)
One thing I like about Ardfry over the others is that it reads in the embedded thumbnail that's already included in AI, EPS, and INDD files. (The other suites use GhostScript to reinterpret those files and generate a new thumbnail, which is unnecessary
and I imagine slower.)