To exclude/include certain files from views, you use the Set rules for file display item when customizing a view (in standard view, Customize the view, and look under the Settings section; in Theater view, it is under Options > Theater View, under Items to Show, and scroll down to media type and select it).
Click the Set rules for file display. For Images, you'll see already present a Media Type is Image rule. You can add additional rules that will preclude certain images from appearing, such as by using a portion of the folder path (eg. Filename (path) does not start with C:\Music).
Delete is not what you want to use to modify a view - instead, include or exclude items as mentioned above.
By default, MC does not include Folder.jpg and other "special" files when importing. If you disable this in Tools > Import... > Configure Auto-Import, on a per-folder basis, it will import these images.
To add images to a view located under Audio, you'll have to Customize the view to include the desired image files (using rules, as above), and uncheck Use parent scheme rules for file display (as this causes views to inherit the rules of the parent view scheme (eg. Audio, Images, Video).