The less-known SDK macro ImageList_Create meets this problem.

// Create the image list with 100*100 icons and 32 bpp color depth
HIMAGELIST hImageList=ImageList_Create(100, 100, ILC_COLOR32, 0, 10);
m_imageList.Attach(hImageList);

// load the starting bitmap ("Loading..." and "Corrupt file")
CBitmap dummy;
dummy.LoadBitmap(IDB_NAILS100);
m_imageList.Add(&dummy, RGB(0, 0, 0));

// Use the image list in the list view
GetListCtrl().SetImageList(&m_imageList, LVSIL_NORMAL);
GetListCtrl().SetImageList(&m_imageList, LVSIL_SMALL);

2. Adding items to the list control

Adding items to the list control is quite simple if we are not writing a time-critical application. If there is a great number of thumbnails to load, the user will see just a moving scroll bar flashing on the screen while the images are being loaded from disk. Instead we can use a simple thread mechanism to add the list items while another thread just loads the images, and all this while the user continues to interact with the application.

The member function that loads items into the list control will be something like:

// structure used to pass parameters to a image adder thread
struct threadParamImage
{
	CString		folder;   // the folder to be scanned for thumbnails
	CThumbnailView*	pView;    // the view that accomodates them
	HANDLE		readPipe; // the pipe used to pass thumbnail filenames to the JPEG loader thread
};

// structure used to pass parameters to a JPEG image loader thread
struct threadParam
{
	CThumbnailView*	pView;    // the view that shows thumbnails
	HANDLE		readPipe; // the pipe used to pass thumbnail filenames to the JPEG loader thread
};

HANDLE	hThread 			=NULL; // handle to the JPEG image loader thread
HANDLE	readPipe 			=NULL; // read and write ends of the communication pipe
HANDLE	writePipe 		=NULL;
HANDLE skipImages 			=NULL;// handle to the semaphore that signals the pipe does no longer hold consistent data
HANDLE imageFiller 		=NULL;// handle to the thumbnail adder thread
HANDLE imageFillerSemaphore 	=NULL;// thread termination flag (when this semaphore goes signaled, the thread must exit)
HANDLE imageFillerCR 		=NULL;// thumbnail adder thread critical section semaphore
HANDLE imageFillerWait 		=NULL;// second thumbnail adder thread critical section semaphore

// Fill in list control with thumbails from a specified folder
BOOL CThumbnailView::FillInImages(CString folder)
{
	// create semaphores the first time only
	if (!imageFillerSemaphore)
	{
		imageFillerSemaphore=CreateSemaphore(NULL, 0,1, NULL);
		imageFillerCR=CreateSemaphore(NULL, 1,1, NULL);
		imageFillerWait=CreateSemaphore(NULL, 1,1, NULL);
	}

	// critical region starts here
	WaitForSingleObject(imageFillerCR, 0);

	// create thread parameters
	threadParamImage* pParam=new threadParamImage;
	pParam->folder=folder;
	pParam->pView=this;

	// and the thread
	DWORD dummy;
	imageFiller=CreateThread(NULL, 0, (LPTHREAD_START_ROUTINE)ImageFillerThread, pParam, 0, &dummy);

	return TRUE;
}

While the image filler thread is:

// thumbnail adder thread
DWORD ImageFillerThread(DWORD param)
{
	// get thread parameters
	threadParamImage* pParam=(threadParamImage*)param;
	CString folder=pParam->folder;
	CThumbnailView* pView=pParam->pView;
	HANDLE readPipe=pParam->readPipe;
	// cleanup
	delete pParam;

	// wait for previous copies to stop
	WaitForSingleObject(imageFillerWait, INFINITE);

	// clear previous images from list control
	pView->GetListCtrl().DeleteAllItems();

	// start scanning designated folder for thumbnails
	WIN32_FIND_DATA fd;
	HANDLE find;
	BOOL ok=TRUE;
	fd.dwFileAttributes=FILE_ATTRIBUTE_ARCHIVE|FILE_ATTRIBUTE_COMPRESSED|FILE_ATTRIBUTE_READONLY;
	find=FindFirstFile(folder+"\\_thumbs\\*.*", &fd);

	// return if operation failed
	if (find==INVALID_HANDLE_VALUE)
	{
		ReleaseSemaphore(imageFillerWait, 1, NULL);
		ExitThread(0);
		return 0;
	}

	// critical section ends here
	ReleaseSemaphore(imageFillerCR, 1, NULL);

	// start adding items to the list control
	do
	{
		if (WaitForSingleObject(imageFillerSemaphore, 0)==WAIT_OBJECT_0)
		{
			// thread is signaled to stop
			// signal skip to JPEG file loader
			int skip=-1;
			DWORD dummy;
			WriteFile(writePipe, &skip, sizeof(int), &dummy, NULL);
			ReleaseSemaphore(skipImages, 1, NULL);
			break;
		}

		ok=FindNextFile(find, &fd);
		if(fd.dwFileAttributes&FILE_ATTRIBUTE_DIRECTORY)continue;

		if (ok)
		{
			int item=pView->GetListCtrl().InsertItem(pView->GetListCtrl().GetItemCount(), fd.cFileName, 0);
			pView->GetListCtrl().SetItemPosition(item, CPoint(105*item, 5));
			pView->AddImage(CString(folder+"\\_thumbs\\")+fd.cFileName, item);
		}
	}
	while (find&&ok);

	// done adding items
	FindClose(find);
	ReleaseSemaphore(imageFillerWait, 1, NULL);

	ExitThread(0);
	return 0;
}

The last but not the least is the JPEG image loader thread:

// JPEG image loader thread
DWORD ImageLoaderThread(DWORD param)
{
	// wait to get a filename, then build the image, add it to the image list then update list control
	CThumbnailView* pView=(CThumbnailView*)param;
	DWORD dummy;
	char buffer[1024];

	while(1)
	{
		int itemIndex;
		int size;

		if (WaitForSingleObject(skipImages, 0)==WAIT_OBJECT_0)
		{
			// skip to marker
			do
			{
				ReadFile(readPipe, &itemIndex, sizeof(int), &dummy, NULL);
				if(itemIndex==-1)break;
				ReadFile(readPipe, &size, sizeof(int), &dummy, NULL);
				ReadFile(readPipe, buffer, size, &dummy, NULL);
			}
			while (1);
		}

		// get data from pipe
		ReadFile(readPipe, &itemIndex, sizeof(int), &dummy, NULL);
		ReadFile(readPipe, &size, sizeof(int), &dummy, NULL);
		ReadFile(readPipe, buffer, size, &dummy, NULL);
		buffer[size]=0;

		// is the file name valid ?
		OFSTRUCT ofs;
		if(OpenFile(buffer, &ofs, OF_EXIST)==HFILE_ERROR)continue;

		// load an image from disk (using PaintLib)
		CWinBmp bitmap;
		CAnyPicDecoder decoder;
		try
		{
			decoder.MakeBmpFromFile(buffer, &bitmap, 0);
		}
		catch (CTextException exc)
		{
			pView->GetListCtrl().SetItem(itemIndex, 0, LVIF_IMAGE, NULL, 1, 0, 0, 0);
			continue;
		}

		// create a CBitmap object from the data within the CWinBmp object
		BITMAPINFOHEADER& bmiHeader=*bitmap.GetBMI();
		BITMAPINFO& bmInfo=*(BITMAPINFO*)bitmap.GetBMI();
		LPVOID lpDIBBits = (LPVOID)((LPDWORD)(bmInfo.bmiColors + bmInfo.bmiHeader.biClrUsed) + 
				((bmInfo.bmiHeader.biCompression == BI_BITFIELDS) ? 3 : 0));
		CClientDC dc(NULL);
		HBITMAP hBmp=CreateDIBitmap(dc.m_hDC, &bmiHeader, CBM_INIT, lpDIBBits, &bmInfo, DIB_RGB_COLORS);

		CBitmap bmp;
		bmp.Attach(hBmp);
		// add the thumbnail to the image list
		int imgPos=pView->m_imageList.Add(&bmp, RGB(0, 0, 0));
		pView->GetListCtrl().SetItem(itemIndex, 0, LVIF_IMAGE, NULL, imgPos, 0, 0, 0);
	}

	ExitThread(1);
	return 0;
}