I've just reread your first post.
You are not alone in this it is a Windows thing and I don't think there is a problem. Windows will not preview PSD files.
Try and right click on a PSD in Explorer and it will not let you preview it with the Windows Picture and Fax Viewer. Although it is not greyed out nothing will be displayed.
Sorry if I built up your hopes. Though there are some picture viewers out there that can!
Irfanview (I think that is the correct spelling) is one I think (Google it), and is a free download.
You could use this to preview and then open in
PS.
Hope this helps
Peter