No you're not doing anything wrong Ron

. The problem is that the Windows OS (assuming that you are using Windows of course) doesn't come with the CODECS necessary to view DNG files or indeed many other raw format type files in Explorer.
What you now need to do is download and install these missing CODECS. One such CODECS pack is FastPicture Viewer
http://www.fastpictureviewer.com/codecs/ which contains all the CODECS you are ever likely to need, now and in the future. When I obtained them they were classified as 'donation ware' but the problem was that nobody actually did any donating, other than me of course.

So if decide these are what you want they will now cost you $14,99 which in my book represents very good value considering the effort and time it takes for these guys to write the code. Currently on version 2.5, future releases of 2.x will be free. Whilst you might baulk at having to dip into your wallet I can highly recommend this pack as others that you may find for free on the web are not always reliable and can cause problem to your system. This pack is also recommended by Microsoft, something I only found out this morning for myself whilst obtaining the web link for you. Once the pack is installed your DNG files will appear as image thumbnails.