I was testing this with a PNG. I also had IrfanView installed and assigned the .PNG extension to this program. After re-assigning it to Photos, the preview still didn't work. Then I found this:
2) In Windows Explorer, I clicked Tools, Folder options, went to the View tab, expanded Files and Folders and removed the check mark from Always show icons, never thumbnails. (I think this is all I had to do to make it work, but have not verified that.)
Now I get a preview in a Desktop folder on the Desktop .