They are thumbnails. You say you have it in thumbnail view? Well, all those little pictures that represent your files are the .thm files being displayed.
movie1.wmv will have for its icon, movie1.thm, or some similar naming convention.
EDIT- Now that I think about it more, it's probably a thunmbnail for the sake of the camera, or the program that came with the camera. Copy all the contents to another folder and delete the .thm files and see what happens. That will give you the best answer.
[This message has been edited by kb2001 (edited 4/14/2007 3:53p).]