the album art needs to be in the mp3 tag, this is like a small library in the mp3 file that holds the data about the file, track name , artist, album, track number etc, this is where the album art needs to be. I use tag&rename to add art work to my mp3's there are other programs that do the same thing, some are even freeware.
But that might not be your problem.. before I had a combox fitted in to my z4 I could not see the album art, and after fitting and coding the art work is now visible. So if you don't have a combox fitted you wont see album art.
Hope this helps
Jon