Unfortunately, this capability isn’t automatic, and Bridge won’t build a preview of the document on its own. You have to set InDesign’s preferences to do so.
Document previews allows you a quick peek of your file in Open & Place dialogs
Visit the InDesign Preferences (Command + K) and choose File Handling from the list on the left. Under the section titled Saving InDesign Files. Make sure you tick the Always Save Preview Images with Documents checkbox. You can then choose to save a Small, Medium, Large or Extra Large preview image. If you’re using InDesign CS5, you can also choose to save previews of one, two, five, ten or all the pages in your document.
I have InDesign set to save a large preview of the first two pages; it’s usually enough to tell me if I have the right file. It’s important to know that saving preview images of your InDesign document will add to the file size. It’s not much, but depending on the number of pages in the document, it can add up quickly.