Sure,
Lets create a Forest Library for
this free Birches library:
To create image thumbnails I have used
HCG Asset Manager1. Lets Create Folder library structure to put our items:

2. Choose Import Objects...:

3. Choose all Max files:

4. Select all and Import:

5. Save Current library:

6. Choose "Open In shell":

7. You will see an empty thumbnails folder:

8. Copy/Move Your thumbnails to this folder:

9. Refresh Your library in Library Browser:

10. Still no thumbnails? Lets check object properties.
It expects to Thumbnail filename to according to
object name, not
max filename:

Let's add "_" to jpg filenames:

11. Refresh the library again:

Hope this helps.