There are a few ways to associate album art with iTunes songs:
1. Try right clicking (or Control-clicking) a particular song and selecting “Get Album Art” from the menu (make sure that the song has the correct album name).
2. Download the Album Art Widget (Mac OS X only) and click the icon to “Add artwork to iTunes song”.
3. Find and download the image online and then add it in the “Artwork” tab of the song’s “Get Info” dialog box in iTunes.