They're cunningly hidden in the same folder as the mp3s themselves but Windows Explorer never shows them.
If you have Nero and you use that to browse your folders for things to add to a disc you're compiling it'll show them with such catchy names as:
AlbumArt_{B135AD96-CA5E-453B-9406-42A290A3B9AD}_Large.jpg
Thanks for that stevie21. I've found that you can change them by noting down the file name and saving an image of your choosing as that file name, overwriting the old image. This only works if Media Player has been able to find the album on the net and allocate a picture to the album. But, if it hasn't found the album you can force it to allocate a default picture by editing the album details in the Find Album Info window.
i know you porbably have figured this out by now or just don't care but you can change the pictures you just put the pic you want in then name it the same as the original album cover file it doesn't even have to be the same size.