You've accidently disabled it.. Re-enable by reversing the process in the link below. (Uncheck the box mentioned.):
Or, did you possibly change the theme in Vista Premium? (The Vista "Standard" them removes some thumbnails on Vista Basic.)
Hope this helps.
I am running Vista Home Premium, pre-installed, on an HP Pavilion a6110n AMD 2.3 GHz w/2GB RAM. I have my jpegs set for thumbnail view, but I just discovered that they were in an icon view, and the thumbnail option is gone.