Are you talking about the thumbnail? Like, when you are using Windows Explorer in your video directory, the little sample image that is generated?
These thumbnails are either generated by microsoft (or your video playing software)... it goes through and grabs a video frame to use. Or they are embedded in the metadata.
If it is grabbing a random frame, then there's nothing you can do.
If it's embedded in the metadata then you need software to do it.
See if Sony Vegas can do it. Probably in "properties" of your video or somthing. See if microsoft can do it: Right click the file, select properties (I kind of doubt it). See if Media Player can do it: import the video, right click, see if you can change the thumbnail.
Otherwise you might need third party software. A quick search found MetaX or Itunes can do it.
Anyway, if it is the thumbnail you want to change, now you have the right word to do your google searches. Good luck to you. I'm on a mac right now, so I can't really test for you. (except Itunes, but I refuse to use that).