You could probably create a macro to process all the files in a folder, but
with Office 2003 at least it is unnecessary. Word's file open dialog will
display a preview of the file itself. Adding previews to the documents will
increase file size.

As Graham suggests, saving a preview is not a good idea because it
drastically increases file size. In Word versions from at least Word 97 on,
you can view a much more usable preview in Word's File Open dialog if you
*don't* save a preview picture. When you save a picture, you get a look at
the entire first page of the doc, very small and unreadable. If you *don't*
save a preview, you get a full-size scrollable window into the document. You
can view as much of the document as you like (vertically); although tables
and graphics may not be displayed in their entirety, ordinary text wraps
horizontally, allowing you to read enough of the content to determine
whether it is the doc you are looking for.