Um, they've been encoding album art onto CDs since the 80s. Look in your 'my music' folder and all your folders within will show the album art if you have something like 'show image' for each folder, though for the life of me I can't find where that option is. Anyways, I'd guess a player would be coded to look for and use the same files. WMP does.
Now I have a simple question about the juke in MaLa: how do you stop a song outside of just changing emulator lists (or starting another track) ?