So are you saying that there is not a little picture of the album on the left side of the name of the song?
If it is not there then maybe you don't actually have the album art.
If you want album art for your songs then I suggest using the program which is a widget.
Here's the link if you want to take a look at what I am talking about:
http://www.apple.com/downloads/dashboard/music/amazonalbumart.html
You just type in the name of the album and then it will show up and then you just click apply to iTunes.
Hope this helps!
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