How to create an mpeg file thumbnail?

I would like to assign a specific screen shot to be viewed as the mpeg "file
thumbnail" when viewed in windows explorer.

Right now I edit TV programs with VideoReDo and save them as an mpeg file in
the "My Video" folder. If I use windows explorer to open and view the
contents of the "My Videos" folders these mpegs do not have a "video screen
shot" thumbnail assigned therefore the thumbnail is of the associated program
used to play the file.

How does one choose the "screen shot" he would like to use as the "file
thumbnail?"

I know this can be done for I have saved some downloaded mpegs and they have
a "video specific" screen shot that comes up as the pictured thumbnail when
viewed in windows explorer.

I use Media Center and like to save the edited kids movies. It would be nice
to have the movie title screen as the thumbnail. Right now these edited mpegs
either have a black thumbnail or use the MCE default video camera image.

Any help would be appreciated.

I tried a Google search for MPEG thumbnail but that brought up a lot of XXX
material that I did not want to wade through.