if your hard drive is formatted for windows (which most are by default) you may be having problems with characters in the file name that aren't allowed on windows. this can have rather random results, including weird error messages and files that don't show up or can't be accessed once there. rename the original files to remove odd characters - stick to a-z, 0-9, and space for maximum compatibility. (you may have to blank the name and start over since some odd ascii can look pretty close to "normal", like "educated quotes")
movie previews can't always be made/displayed. It just depends on whether or not Finder can preview the movie to grab a frame from it. If you double click and VLC launches for example, that's NO guarantee that Finder can render it. You can probably paste a custom icon image into the Get Info window if you want one bad enough.
I work for the Department of Redundancy Department