I was looking on some other forums on how to change the album art but for some reason I couldn't change it, no matter if I deleted the thumbnails thing or applied the art in Windows Media Player I just don't know how to do it.
Here you can see that the 'In Utero' album has art however I have not done anything to it, this is default for the album but for the other albums they just show the default icon.
Some media players will download it if your phone is connected to the Internet and automatically load it, others won't. To avoid this across the board, when ripping music on my computer, I use MP3Tag to apply album art to all tracks for albums that may not have it for whatever reason. That way no matter what media player I use, or file type (MP3, and specifically FLAC) will have the album art regardless or the media player (as long as the media player can display Album Art).
Q & A