Video files on xmb video column can display a small thumb clip of about 15 seconds from the file as preview.
By default the system creates it from the beginning of the video.
Videos registered to the xmb by applications usually do not get a thumbnail.
Creating it or changing it are the same procedure!
[Procedure]
Select the video you would like to create or change the thumbnail for:

Play the video by pressing "X"-Button and pause ("X" again) at the position you would like to have the next 15 seconds as thumbnail for.
(Hint: "L2"-Button lets you rewind and "R2" fast forward.)
Now press Triangle-Button to display the control panel and select the icon, left to the trash-icon.

(Marked red = Thumbnail creation Icon)
It will now ask you to confirm picking 15 seconds at the beginning of this scene as Icon:

If one is already set, it will overwrite. Once you confirm it, it will process the creation of the icon:

The icon has been changed!

Thats it! Now you can exit the video playback (by pressing "O"-Button) and enjoy the changed clip:

[Bonus]
Press Square-Button in playback mode of the video to make a scene gallery appear:

D-Pad Up/Down lets you select intervals of 2 minutes/1 minute/30 seconds/15 seconds:

Selecting, preview the scene in the small thumb and press X-Button to jump to the scene as playback.
I hope you enjoyed this piece of information and have much fun with it as i do!
/greetz mysis
Notes from Sony:
* Depending on the video file, it may not be possible to change the icon.
* A video file shorter than two seconds cannot be used as an icon.
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