What operating system are you using? If using Windows Vista or Windows 7
then you'll see a "Save Thumbnail" option in the Save As dialog box at the
bottom. Note this option is application specific. Once you enable/disable,
it will apply to all documents.
If using Windows XP then click the File tab to open Backstage view. Click
Info if necessary and in the Properties pane on the right, click Properties
and then click Advanced Properties. You'll find the thumbnail option on the
Summary tab.