*Is this on the CDs when you buy them, of is this additional infromation that must be downloaded from a database somewhere*
CDs don't contain artwork, you can either add the artwork manually or if the album is available in the iTunes store you can download it from there. You'll get information on both methods at this link:
iTunes 7 for Windows - Adding artwork to songs and other items
if you can't find the album covers you want from iTunes you can get them from various other sources. I find this site is a good source of artwork:
CD/Album Cover Art Search from SlothRadio.
Another place for finding suitable artwork is to go to Amazon. You can also locate artwork using Google image search and put the artist or album name. Locate the album from any of those sources, right click on the image and save it to the desktop, once it's there drag it to the iTunes artwork pane. Once you've added the artwork you can either delete the original file or keep it in a folder somewhere in case you need to use it again. Alternatively there are programs like these that help locate artwork:
iTunes Art Importer or
MP3 Tag
If you have a scanner you can create your own artwork files by scanning the CD cover itself, this is particularly useful when you are dealing with rare recordings.
*What exactly are liner notes ?*
It's the information printed for you to read in your CD booklet. Who played on the CD, where it was made, dedications to the artist's friends and family etc. etc.