But if I create a link of this folder, the "lnk folder" is displayed correctly with the first four image (see screenshot here) and here is the options I set (see screenshot here)
I suspect a problem similar to this one
http://ghisler.ch/board/viewtopic.php?p=82607#82607
But do not know how I could fix it

Any hint would be appreciated
PS For additionnal info on folders (quite interesting)
http://support.microsoft.com/kb/812003/