Welcome to the Seven Forums! pastadog
If you run 7 you automatically have WMP 12!
Most of the art work are web based when WMP connects to the web to retrieve media content if set to do so. Album covers for various artists played seeing media content updated from the web will see jpeg images placed in the same folder where the audio tracks.
The one annoyance about ripping audio tracks into the WMP libary is going to create a new play list and the music stops once it reached a jpg file added into the play list simply by being dragged in from Windows Explorer along with the audio tracks. But the place where the music is is also where those album cover downloads will be found!