Let's say you have some audio files that do not display artwork in media players, such as Windows Media Player, iTunes, VLC, or Media Monkey. Let's say there is a folder named Album Name that only contains WAV files and no JPGs. When playing the WAV files in Windows Media Player, Now Playing displays the default icon.
Library also displays the default icon.
Add a JPG named AlbumArtSmall.jpg to the Album Name folder to display the art in the Library.
The Now Playing album art is obtained from an online database. While it my technically be possible for you to add album art to the various online databases yourself, I advise against it. For example, Windows Media Player online database is fai.music.metaservices.microsoft.com. To ensure that Windows Media Player is obtaining the album art from fai.music.metaservices.microsoft.com:
fai.music.metaservices.microsoft.com gets album art from www.allmusic.com. If the artist is not found on www.allmusic.com, you would have to send an email to firstname.lastname@example.org, because www.allmusic.com gets its data from Rovi, asking Rovi to add the album art to their database, and there is no guarantee that Rovi will add the album art.This is just one of various online databases. For this reason, I instead would recommend using www.tunecore.com. This is most practical if you are a musician and you want to ensure your own album art displays in various media players.
About a week or two after submitting your project in Tune Core, you album art should appear, and your music will also be made available in well know music sources, such as iTunes, Amazon Music, Google Play, Spotify, and so on.