Download and install music software such as Apple's iTunes. Most such programs are free.
Store your music on your computer. Depending on your software, instructions for this step will vary slightly.
Right-click on the album that you would like to display artwork. Select "Get Album Artwork." Repeat this step for as many albums as necessary. Alternatively, to add artwork for all albums in iTunes, select "Advanced" in the top menu bar, and select "Get Album Artwork."
Connect your artwork-compliant MP3 device to your computer. All music with artwork will be uploaded to your device.