At least on this machine (Win 7 with CC) some Illustrator files will preview well in Explorer, and some don't.
I created a simple illustration in Illustrator and saved it in a number of names and formats. Explorer previews it just fine!
I have a lot of graphics that I pulled out of PDFs - open in Illustrator, save as .ai, strip the extra stuff and edit as needed.
Most of them will not preview correctly. The preview pane shows some old version of the PDF. It never seems to reflect changes in the file done in AI.
I even saved a modified file as PDF, opened and revised it in Acrobat Pro (ok, ver 8.3) and resaved it.
Then opened that revised PDF in AI and resaved it.
Still the ancient preview shows for the .ai in Explorer - though the PDF previews fine.
Another late reply - yes, I always save AI files with the "PDF compatible file" option selected.
I guess if I were really curious, I could go spelunking into the bare files, and figure out the differences between a PDF-originated AI file and one created with data copied from the PDF-originated file.
Not going to attempt that right now...
Since we've had some updates since I reported this, I checked again. Files that had bad preview still do. Tried "save as" with PDF compat turned off, close and reopen, save as - pdf compat turned on, still broken preview. Create new file and paste all contents of broken preview file in new one, save - new file previews perfectly. When opening a PDF and saving as AI, Illustrator somehow does not clean everything properly - it creates a file that Win Explorer (at least in Win 7) can't preview. And you can't see a preview when browsing from ID to place a file.
This seems like too easier answer to a question that has taken years without a fix BUT....
I just save my AI files as a .PDF and Windows Explorer happily gives a thumbnail preview (as long as the Adobe Reader app is set to display thumbnail previews (From PDF Reader, [Edit], General, [/]Enable PDFthumbnail preview.
This works for me on XP, Win 7 and Win10.
When saving from Illustrator I save as PDF and choose to [/]Preserve Illustrator Editing Capabilities.