recently I found a video on the net ( a .mp4 file), and when I had it on my computer with Windows7, I noticed its thumbnail was not the average windows 7 video thumbnail (which looks like a piece of video film with a random picture from the movie), but a custom thumbnail! Looking in the file properties did not help find the correct button to change the thumbnail...so I just wonder how he did it! Here is a picture: left: the custom thumbnail, right: the average thumbnail...
This is similar to the meta information used by mp3 sound files to add album art. By default, video editors use the default format you show on the right. But you can either specify the still image in the video editor or with a separate ID3 editor. Basically these editors let you modify a bit more attributes than right clicking the file and picking "properties" to change the title, artist, etc. Search for "MP4 ID3 tag editor" to find lists of available software.