I think XP only does previews for files that Windows Media Player can play natively, e.g. MPEG and AVI - I think thats it, mp4, m4v, mov, mkv, flv etc arnt supported natively by windows media player, although are by plugins, they still wont show in explorer.
As for other file browsers, not sure mate =/
Vista and Windows 7 use a very different build of Explorer.exe and all the underlying tech for rendering thumbnails/previews is totally different and uses DX9 (9.0L i think) to accelerate this.
Canon EOS 5DmkII + BG-E6 + Canon EOS 40D + BG-E2N + Canon EOS 33
Canon 17-40 F/4L
USM + Canon 24-70 F/2.8L
USM + Canon 28mm F/1.8 USM + Canon 70-200 F/2.8L
USM IS + Canon 85mm F/1.8 USM
Canon Speedlite 580EX II + Canon Speedlite 540EZ + 2 x Nikon SB-80DX
Cactus V2s Wireless Trigger - 5 x
Cactus V2s Wireless Reciever