As Lemmy suggested to you, I make them myself.
While any media player is open, (not full screen), I press the
Print Screen button on my keyboard, then
paste that screen into my graphics program.
With some cropping and trimming here and there you can get some nice media player frames for your movie thumbs. I erase the middle of my frame to make it transparent. This allows it to sit nicely on top of my movie screenshots.
With a layers-based graphics program like Photoshop you can open the screenshots you have taken from your movies and use different layers to arrange them
underneath your newly-created frame.
Copy and paste each screenshot into your frame project - under the frame layer.
Then show/hide the relevant layers to save each different screenshot as a new thumb, with your frame on top of each one.

Sorry if that was confusing.
An alternative is to simply put a big fat "PLAY MOVIE", or "SAMPLE CLIP", on each thumb. Or even find a media player icon and stick that in the corner of your thumbs.
A lot simpler than my long-winded tutorial-thing above, but a lot less pretty, and not what you asked for at all.
Maybe I should have shut up.
