You certainly can. I have the stock WDTV firmware and all of my movies are on NAS on my home network. Each movie is in its own folder. I used Thumbgen to create folder and movie thumbnails as well as a moviesheet JPG. I changed the Thumbgen options so that my movie sheets were called About.JPG.
The WDTV will hide the JPG files if they have a period (.) at the start of the file name so I then renamed all of my folder.jpg and my_movie.mkv.jpg files to be .folder.jpg and .my_movie.mkv.jpg (I wrote a script to do it). The WDTV will still use the pictures but it won’t show the JPG files its using. Now when I go into my movie folder, all I see is About.JPG and My_Movie.mkv.
I also used Thumbgen to create Genre-based playlists. Each playlist (e.g. Comedy) has its own thumbnail that I also hid using the period trick.