Q: cant change album covers

I recently got some music and downloaded it onto my computer. Two problems happened. 1: there was one song that refused to join the other. 2: they are without album covers and i cant change them. I have tried to change it through the "get info". one of them says i can change the album covers but i select the cover and press okay nothing happens.

I want combine the albums but only the one with the rest of the songs can check the "Album is composed of various artists" Any help will be appreciated