How can I get thumbnails for Canon RAW (*.CR2) photos in Windows XP's Explorer?
Do I have to install a codec, and if so, which one?
Hands down, it's got to be IrfanView. It's freeware and can handle most image types with the installation of additional plugins:
Get the app here: http://www.irfanview.com
..and the plugins here: http://www.irfanview.com/plugins.htm
One thing to note, from the readme:
Several years ago, Microsoft published a RAW thumbnailer and viewer specifically for XP that installs a shell extension inside Explorer for providing thumbnails of RAW files. Reading the description posted on the site, it appears to work for both Canon's and Nikon's RAW file formats.