Because Windows can only handle "normal" image files such as JPEGs,GIFs and BMPs,so it can't even convert them to thumbnails.
Got to http://www.irfanview.com,download it,and make it your default Windows image viewer,this will then allow you to view PSD files,you may however need all the plugins as well to do this.Irfanview is a brilliant bit of kit,very small to download at under 1Mb.
Chris@Imagewerx, March 2005