If you are asking about getting the sprocket perforations on the thumbnail, I would suggest using Icaros. It lets you specify file types to generate thumbnails for (including various video formats for which thumbnails are not generated by default). If you add .mp4
to its list, then it may change how the thumbnail is generated (i.e., use WMP to generate it like is done for .wmv
files).
You can also customize the appearance of video thumbnails with Thumbnailer Lite: