In Mac OS X, suppose you open your root disk, following folders/directories will have different icon (thumb) on it.
How to apply a thumb image on my specific folder/directories?
You can also copy existing icons, use the Get Info window as source.
Edit: If this doesn't work, open the image in Preview.app, select part of or the whole image and press Cmd-C (Edit:Copy). Then proceed with step 3.
I'd go with drag'n'drop:
You need to create a special Folder-type icon (the usual app bundle .icns won't work here). Img2icns will give you an option to create this type of icon, despite its name.
Customizing file and folder icons in Mac OS X presents a more involved process utilizing an .icns file which can contain several versions of an icon for display at different sizes. While less elegant than the ⌘ + C, ⌘ + I, ⌘ + V method, it's useful in cases where scaling a single icon produces unacceptable results (such as when the 16x16 icon is an indistinct blur).
So it cannot be like thumbnail for Pictures folder in Windows? I mean, if I've set the display option to Thumbnails, then if a folder contains images i.e. photos, wallpapers then it gives a preview on the folder icon. I guess it's not there in OS X or any other OS for that matter..