for full windows xp raw thumbnail support, download & install (in this order)
1) Canon RAW Codec update for Vista http://software.canon-europe.com/software/0026049.asp (yes it is fine for xp too)
2) http://www.arcsoft.com/products/rawviewer/ (free windows shell plugin)
totally works - (but not if you do it the other way around which i did at first)
i have 350D & 40D, both now display thumbs in windows explorer
EDIT: if it asks for windows imaging to be enabled or installed, then visit this link:
http://www.microsoft.com …5def45ddd8&displaylang=en
and install that first of all, the the other two as above