I didnt get a chance to catch the show on tv and had to download it from the internet. On the version I downloaded, the very last thing is them sailing on the ocean, but there is a quick half second clip of the black smoke... Just wondering if I missed a couple of minutes at the end or if that was going to be the start of the preview for next week's episode?

No, you didn't miss anything, that shot of the smoke was the last shot of the episode before that great chord and BOOM and the fuzzy LOST.