I believe the issue comes from not having the Adobe plug-in installed on the Windows machine. (It comes standard on the Mac.) If you install Adobe Reader on the PC, it should reflect the preview properly.
Mike, I have also noticed that it needed to be at least the Acrobat X version or later. I had a similar situation on a PC with Acrobat 8 or 9 installed and I was wondering why I didn't the "Advanced" preview features that Filemaker was promoting with FMP 12. I was seeing the same thing as Peter. I upgraded to Acrobat X and I have the preview function working in FMP.
hmmm, still not getting any joy with windows, have installed Acrobat reader X1 on several PC's, I still get the icon....?