You have to create an image, upload it to your server, and place the URL in the 'itunes:image' tag in the feed: or, if you are using one of the many podcast creation apps or services, you deal with the image as detailed in their Help.
The image must conform to these parameters:
Dimensions: minimum 1400 x 1400 px, maximum 3000 x 3000 px, and square. If you hope to be considered as a 'featured' podcast (though the comopetition is intense) you must use 3000 x 3000 px.
File size: less than 500kB.
Format: RGB; no alpha channel; JPG or PNG.
Once you have added an image it may take some days to appear in the Podcasts App or iTunes.