Well I've had paint.net for about 3 years now and its only started doing this.
For some reason whenever I save a PDN, Windows gives it a little x for a thumbnail.
I can't seem to figure out why as this worked on my other computer (running vista) with an older version of paint.net as I haven't upgraded that computer.
What I find even more strange is that when I copied all my pictures over, the ones that already had thumbnails on the Vista Laptop were fine.
This comptuer is windows 7 64-bit and lso has the most current version of paint.net on here.