In a default Kubuntu install, Dolphin is a great file manager. It typically works with many different file types seamlessly. One of the things it doesn't seem to handle out of the box is previews/thumbnails for video files.
How to install video thumbnails
The first step is to install the mplayer thumbnails package. My research indicates that this has been in the standard repos since Jaunty.
This will change dolphin so that that when you click on a video, it will be previewed in the preview panel. To make thumbnails show up in the icon view, you need to do a little more configuration. Go into Settings->Configure Dolphin. Click on the "General" section from the list of sections on the left, select the "Previews" tab, and check the box next to "Video Files (MPlayerThumbs)".
That's it, enjoy your video thumbnails in dolphin on KDE