I have heard that I can tell jriver where I want it to put all the cover art and xml files so I don't have to look at them in windows. How do I tell JRiver where to put these files in the options menu? and are mp4 files not capable of tagging and not need xml files?
For video files the cover art and sidecar XML files are always stored alongside the source files. This is because otherwise it is very difficult to name them so that none ever conflict with one another, among other reasons.
If you don't want MC to generate XML files for your video files, you can disable this behavior.
Tools > Options > General > Importing & Tagging > Store tags in external sidecar files. I would recommend against changing this, however. That means the tags for those files are only stored in MC's Library, and you can't interchange them with other copies of MC and retain metadata.
MP4 does support some level of tagging, but the standards are not well defined, and writing custom tags to them could impact compatibility with other (less capable) players. MKV could probably be done with fewer problems, but JRiver does not support in-file tagging for MKV files currently. In either case, the operation would probably be quite slow, compared to writing tags to audio files, so there could also be serious performance implications.
The XML files are useful for metadata backup and interchange purposes. It is most convenient for these purposes to keep them alongside their source files (so that you can find them and move them together and the "link" between the two doesn't rely on an external database). This setup is essentially standard for other sidecar file types as well (subtitle files, etc). Lastly, MC
used to have an option to store them in a separate folder for video files (like they still do for audio cover art files) but it was very problematic.