Album cover is part of the information included within mp3 tags. If a cover isn't shown properly, chances are that the mp3 tags must be fixed before sending the files to the iPod. If the problem is affecting just a couple of files, you can fix them with Winamp: Open the file, right click on its name and click on "View file info". You'll see a "cover" tab where you can load the appropriate image file. But if you need to fix lots of files, you need a mass tag editor. I use
this one and I'm very happy with it.
Hope this helps.