Install Perian. It will generate thumbnails in Finder for non-native video containers such as AVI or MKV regardless of what your default video player is.
http://perian.cachefly.net/Perian_1.2.3.dmg
Some people, including me, have issues in Mountain Lion with it relating to sandboxing (a security process) when generating thumbnails for large video files.
Shown here:
https://discussions.apple.com/thread/4146723?start=0&tstart=0
Try it anyway. It can be uninstalled easily from it's preference pane in System Preferences if you are not happy but it should generate thumbnails for you in Finder.
The developers have stated that there should be one last update for Mountain Lion but that was stated last year. They have been developing Perian in their spare time for years so there can be no complaints from anyone if it doesn't materialise.
Of course if you have Perian already installed ignore everything I just said.