How do you change the preview image (thumbnail) of a .mov video file in the Downloads folder?

You can't directly change a video's thumbnail in File explorer, but you can easily set an new one by re-exporting the video using Microsoft Climpchamp. 

You can create a new version  of the video where the very first frame is the image you want as the thumbnail. 

If you want the thumbnail to show inside media libraries or in certain apps, some video editing or media management software may allow embedding cover art or thumbnails, but this is more complex and involves re-encoding.

Some video editing or metadata tools (like MediaInf0, Sh0tcut, or Ad0be Premiere) may allow you to set or replace the cover art or thumbnail, but not all support this for .mov files.