To add Album Art to a song or album, right click on the item in your iTunes library on Windows or control click on a Mac. Then select Get Info. From there select the Artwork section and either drag and drop the picture to this section or choose to upload the picture. Click save or ok. I have attached an article that goes over this as well as screenshots to help. Also, iTunes can check for the Album Art on it's own. To allow iTunes to check for this, from the menu bar select File>Library>Get Album Artwork.
Hope this helps,