I had same porblem with Coby MP3 player. You need to associate album art with the track. In Windows MP3 Players this isn't much of an issue. It's a tedious process in ITunes putting in album covers. But for Coby MP3 Player (I have 76Cool you have to do some work. First, you need to save a copy of the album cover in the same folder as the songs - I use Amazon and right click on the album cover to save it down. Then, in Windows Media Player, go to the album, select all tracks, then right click to Advanced Tag Editor - click the pictures tab, click add then select the album cover you just saved.

As a side note, I use WIndows MediaPlayer to Sync up my Coby MP3 to my PC. It's easier than their software, and works just fine.