Welll ... in iTunes and other apps I assume .. you can see the album cover of a song whilst it's playing IF it has been attached to the id3 tag which accompanies the mp3. In Mac afaik the image remaind within the id3 tag, but I gather it works a bit differently in Windows and some windows users have talked about having jpg filed in their shared folder, which turned out to be album art.
If I have an album, I can go to the artists web site, or Amazon and copy the album cover and paste it into the label in iTunes and if I share the file it will go with it. I don't normally do this, since they are so damn small you can't see them and Windows users don't seem to like them.