Displaying part file thumbnails within the Windows Explorer requires to register a DLL. This is normally done when installing NX, but if you have two versions of NX installed, and you uninstall the older version, the registration can be removed.
You can re-register teh dll by executing the following command from "Windows->Start->Run" or from within a Command Prompt (you may need to adjust the path):
regsvr32 "C:\Program Files\Siemens\NX 9.0\UGII\ugshext.dll"
or beginning with NX11:
regsvr32 "C:\Program Files\Siemens\NX 11.0\NXBIN\ugshext.dll"
hope that helps,