While your phone is connected, swipe down to open the notifications and you should see one that says, "Connected as a [media device][camera]. Touch for other USB options." If you touch that, it gives you the option to check a box for either media device or camera. However, no matter which option I use, the files show up in Windows Explorer as icons, not as thumbnails of the photos. So I don't think there is a setting on the phone that will accomplish what you want.
If you right click on one of the .jpeg icons in Windows Explorer and select "Preview," it will open that image in Windows Photo Viewer and then you can move forward or backward through the photos. I couldn't find a way to view all of them at once as thumbnails in Windows Explorer. Perhaps if you set your camera to store photos in a removable micro SD card, you could remove the card and connect it to the computer with an adapter, and that might accomplish what you want, though it would be a bit of a hassle.