Just realised I answered, "how to make your own thumbnails for Actions", but that may not have been the question! Actions for PSE, up until version 5, usually came as a pair of files - one .atn file and one .psd file. Both of them go in the Photo Effects or equivalent in each version, with the .atn doing the 'work' and the .psd making a user-friendly thumbnail/icon for that action so that you can see the Action you want in the Palette. But PSE6 (for some reason) wants a .png file as the thumbnail and not the .psd file - psd files will just not be visible.
The easy solution is to simply open the psd file of any new Actions (<b>and</b> of any previous Actions copied over during the upgrade to PSE6) and "Save As..." .png files. Same size, same filename. (It is not sufficient, I believe, to just change the suffix to png).
Now you will have the old psd files <i>and</i> the new png files together in the same folder. Just delete the psd files (or, for those of a nervous disposition, move all the psd files to a new folder).
Restart PSE6 (use Shift-click on the "Edit" button on the startup screen and keep the Shift button down until PSE is fully loaded - this will rebuild the database of 'extras').