There should be a stack of Tuts coming out of the RO2 SDK but I will try to help you guys get over the hill with the content browser not showing things to you properly. Essentially a thumbnail needs to be generate for the asset in question. Rather than try to explain it in MY words, lemme pull it from the UDN.
Generating thumbnails for assets
When the Content Browser needs to display a thumbnail for an asset that isn't currently loaded, it will check the asset's package to see if it has a thumbnail and quickly loads then displays it. This happens without actually loading the asset's package or any of it's data.
Thumbnails are generated automatically for most asset types by UnrealEd. You simply need load and save the package and the editor will make sure that thumbnails are rendered for all of the supported asset types.
If you're seeing a lot of assets in the Content Browser missing thumbnails, it probably means that the packages need to be resaved in UnrealEd. Note that there are many asset types that don't support custom thumbnails yet (e.g. Sounds, CameraAnims, etc.) Also note that you must save the packages in the editor to update the thumbnails. Commandlets (such as ResavePackages) are unable to generate thumbnails as a renderer is required for this.
For loaded assets, the editor will generate their thumbnail in real-time (we don't load them from a package file.)
All thumbnails are cached in memory for a short while to improve performance, but most are evicted quickly to keep memory usage light.
You don't want to resave the packages that were shipped with the game since that will break compatibility between you and the rest of the world; however, you can resave YOUR packages to get thumbnails. Let me know if that sorts it out for you.