David,
The behaviour you're seeing, where explorer shows an icon that matches the image, is the result of either native support for the filetype in Windows, or an additional application called a shell extension.
As far as I'm aware, there's no code relating to shell extensions in Paint.NET, so I'm not sure why you say 'Paint.NET can do this'.
If you're an experienced programmer, you'll have to read up on writing shell extensions. If you're not, then you'll probably need an external application.. something like http://www.seriema.net/thumbview/index.php?page=about
Note that I've not tried the program linked above, and do not offer any recommendation for it, nor do I take responsibility if it screws with your PC in a bad way. It's linked so you can see what I'm on about.
Hope this helps,
Dean