Hmmm, that is very strange - as far as I know, the Photoshop browsing windows are using the same rendering than the Explorer windows. Here I have the DDS thumbs show up fine in both. Did you switch the Photoshop display to thumbnails ? (ctrl + mouse wheel up)
I'm not aware of any Photoshop preview methods for *.DDS. I use Mystic Thumbs which will show almost any image format that I commonly use in Windows thumbnails. It's well worth the asking price.
Sorry for not being super helpful here but : Yup, I know for sure that it is possible (I have it enabled on the machine I am typing this with), but I have no idea where I got the functionality from :D I must have gotten it from one of these Windows shell extensions allowing for the thumbnail preview of many useful file…