A thumbnail image is a flattened image. So if you want people to be able to download your original PSD and makes changes to it you probably don't want them to download a thumbnail.
I think what you mean is that you have a PSD file that you want people to be able to download and edit on their own computer and you want them to be able to access the psd file via a thumbnail image on your website.
In order to do this:
1) Save the psd file.
2) reduce the image size of the psd file to the appropriate thumbnail size you want.
3) Save the thumbnail size psd for web (this should save it as a gif or png file- if not, please do so now)
4) Open the website to work on in XSP.
5) upload the full size psd file.
6) select the page and insert the thumbnail image.
7) select (highlight) the image, and link to the pdf.
Did this solve your problem?