What are the cover art settings in Options > File Location > Cover Art... ? Are they at default or have you set something there?
What does the
Image File library field show when you select a file that has incorrect covar art image? You can add the Image File column to a list view or check the field contents in Action Window > Tag > Image File (set it to show all fields or add the Image File field there).
What is the audio file's format (or what are the formats if you use several)?
Are the files correctly tagged with the Artist and Album tags? Do you have something also in the Album Artist field? If yes, are the Album Artist values correct?
As Jim said, the "Cover Art > Get From Internet" tool may help, but it might be good to first understand what is happening. As far as I know, WMP saves cover art as 200x200 pixel folder.jpg files (with the hidden attribute). Normally MC should find these files if no other available cover art has priority (like correctly named cover art in the default cover art location or embedded cover art in the file tags).
I have gathered many of my old, but possibly useful cover art related links in the following two replies:
http://yabb.jriver.com/interact/index.php?topic=51538.msg351851#msg351851http://yabb.jriver.com/interact/index.php?topic=51538.msg351858#msg351858