Right click on the book in your library, it will be one of the options. If it is a common book it will even download a cover for you.
You can add cover art using a free program called calibre: calibre
You can drag the book into Calibre, edit the metadata, including adding your own cover artwork. Even better, with a free isbndb.com account, you can get the cover downloaded automatically.
You can do other things with it of course: Manual