OK in windows media player, it will pull the album art up, but it doesn't attach the art to the song, instead it hides the art in the system and attaches a series of numbers to be ID. In iTUnes tho the art is attached to the songs tags.
Now there may be some program you can find on the net that will automaticly do this for you, I have no idea but heres how to do it manually.
Now the art work will reside where the song is. Since most music is put in the "My MUsic" folder i'll focus there, but if you have songs in another folder there artwork will be in that folder with them. Open My Music folder and goto tools>folder options>view tab Now check "Show Hidden Files and Folder" then UNCHECK "Hide Protected Operating System Files" You should now see all the album art listed.