Sometimes Windows gets confused and shows the wrong thumbnail in Explorer.

Windows creates a hidden file called thumbs.db in the same folder where the images/photos are stored. It uses thumbs.db to preview the directory. Sometimes this file gets corrupted.

To see the hidden thumbs.db file you need to show all hidden and system files. For XP, in Explorer choose Tools/Folder Options/View and check the "How hidden files and folders" and uncheck "Hide protected operating System files"

Now delete thumbs.db and XP creates a new file when re-opening the folder.

If the problem only exist with a few pictures. Right click the picture, from the popup menu choose "Refresh Thumbnail".