You mean there is no filename listed in the menu, or you can't see the thumbnail image of it in the Open menu?
Using AI9/10/CS on a box with XP I see the thumbnails in the Illustrator Open dialogue by:
Start > Programs > Windows Explorer
navigate to a folder with some .AI9/10 images
right-click on the image icon and select Properties
left-click on the Illustrator Thumbnail tab
select 32-bit icons
If that doesn’t work the thumbnail comes from a registry entry under :