Sometimes the covers are embedded within the .mp3/.wma/.acc. I'm not 100% sure, but I do not think iTunes does this (I'm away from my system so I cannot look).
If there is no image imbedded in the music file, then you can place a file called "folder.jpg" in the folder that contains the album on the BM5 and this is the image that will show whenever a song is played from that folder.
Stan