Explorer is a program that hosts lots of mini programs, known as shell extensions. Programs add their code into explorer. So theoretically the program that makes .cmx should provide a thumbnail generator.
In the below list some of the items can be provided by registry entries, but not thumbnail unless it's a jpg, gif, etc.
Shortcut menu Handler
Called before a file's shortcut menu is displayed. It allows you to add items to the shortcut menu on a file-by-file basis.
Data handler
Called when Shell objects are dragged and dropped. It allows you to provide additional clipboard formats to the drop target.
Drop handler
Called when a data object is dragged over or dropped on a file. It allows you to make a file into a drop target.
Icon handler
Called before a file's icon is displayed. It allows you to replace the file's default icon with a custom icon on a file-by-file basis.
Property sheet handler
Called before an object's Properties property sheet is displayed. It allows you to add or replace pages.
Thumbnail Image handler
Provides an image to be displayed when the user selects the Thumbnail view.
Infotip handler
Provides pop-up text when the user hovers the mouse pointer over the object.
Metadata handler
Provides read and write access to metadata (properties) stored in a file. This can be used to extend the Details view, infotips, the property page, and grouping features.
Column handler
Called by Microsoft® Windows® Explorer before it displays the Details view of a folder. It allows you to add custom columns to the Details view.
Copy hook handler
Called when a folder or printer object is about to be moved, copied, deleted, or renamed. It allows you to approve or veto the operation.
Drag-and-drop handler
Called when a file is dragged with the right mouse button. It allows you to modify the shortcut menu that is displayed.
Icon Overlay handler
Called before a file's icon is displayed. It allows you to specify an overlay for the file's icon.
Search handler
Called to launch a search engine. It allows you to implement a custom search engine accessible from the