Nikon does publish a "NEF Codec", which supposedly makes image programs able to recognize and use NEF files. However, it does not seem to cause Explorer to recognize the files:

Is this possible?
Nikon does publish a "NEF Codec", which supposedly makes image programs able to recognize and use NEF files. However, it does not seem to cause Explorer to recognize the files:

Is this possible?
In addition to adding RAW file support in Windows Photo Viewer, Microsoft's Camera Codec Pack also enables Explorer to create thumbnails of NEF files.
Fromt the questions above:
"Have you tried to set the file associate in Control Panel>Programs>Default Programs>Associate a file type or protocol with a program? Does the NEF file type even show in there?"
@KCotreau: Just the codec mentioned in the question: nikonimglib.com/nefcodec -- There's no way to associate it with a file type because it's just a codec, not a viewer.
That is your answer then. File associations, like what you are trying to do in that explorer window screenshot, are associated with programs that open them. You need a program that can open them, and can probably get one here:
http://support.nikonusa.com/app/answers/detail/a_id/61/~/current-versions-of-nikon-software