Click to view attachment
Right click in the area where the Arrrow Points to, and Click Add Cover.
If you Right Click in that area, you will see the following Options.
Add Cover (Is to add a cover to a Music File (WMA, MP3, FLAC, M4a etc)
Remove Cover (Is to remove / delete a cover from a Music File)
Extract Cover (Leave the Cover in the Music File, but makes a copy of the Cover on the Hard disk)
The other Options are not so important for now.
After you add the Cover art, you have to click on Click to view attachment
or on CTRL + S (Which is Save TAG). This saves the Cover Art in the Music File.
Try it out. And for your first tries, try it on a Copy of your Music File.