What do you intend to do? Linnet took the preview stored inside the drawing to make a slide file that could in turn be used as a preview for that drawing file.
In R2004 now you can preview drawings in explorer (at last!), but this is still the birmap preview inside the drawing. I presume you wish to have a better quality preview, maybe want to zoom in and read texts? That would require whatever program to read the actual drawing data (which is a bit involved to say the least) and write the slide file (which is easy). I can believe someone might attempt this with a DXF file (and only implement part of the DXF specification). Conversion from DWg to DXF could be done via convert.exe outside of AutoCAD.
I'd like to mention that in R13 (and maybe R14) you could choose between previews saved as BMP or WMF (or both). The WMF was really good in terms of the degree of detail that was saved in it. I remember beeing able to zoom in on the title and read the text. It is a shame the WMF preview has been abandoned.
Good luck to you
Cheers, Steffen.