You can manually add a thumbnail with the shortcode by making use of the poster attribute.
If you want to do it automatically, then you have to implement FFMPEG or LIBAV first, meaning they would have to be available on your server. Afterwards you could hook into wp_generate_attachment_metadata and automate process – I have given an answer how to do this for PDF’s some time ago, just so you get an idea. But that of course will be quite some work.
I hear there are some pretty good plug-ins in the WordPress Plugin Directory, although I haven’t used them myself.