Adding Pictures or Artwork to an audio file can be tricky and a lot of artist love this feature. If you are a producer or promoter the you really need this extra skill to boost your artist or song. For sake of clarity i will explain how this is done on a few music software easily.

WINDOWS MEDIA PLAYER
Steps

Open Windows Media Player.
Drag the file into the music section of the library.
Drag the picture you want the cover photo to be to the note sign (highlighted).
It will be like this when done.

iTUNES MUSIC Player

Find the song in iTunes with missing artwork. …
Open Safari and go to Google Image Search (images.google.com). …
Highlight the song in iTunes and press Command + I (or Control + Click the track and choose Get Info).
Click the Artwork tab.
Click Get Artwork.

For Linux Users like myself;

If you use VLC Media Player and if you want to display or add album art to any MP3 files, then just access media information options and either browse and put up an album art (also known as cover art) or try to download it automatically. The only thing that you have to do is bring up the media information screen and then the options will be accessible in the bottom-right after you right click on the art or VLC icon.

The cover art along with other metadata information are used by different audio or music players in different ways. The data is saved on the MP3 file itself. You will notice the file size changes if you add cover picture, especially if you add large pictures. When the same MP3 file is transferred to your smartphone as an example, your player will use the album picture and other metadata information to display on-screen while playing and also giving you the feature to sort out or browse by artist, genre etc.

Here are the steps with screenshots to edit your cover art picture using VLC media player:

Go to Tools > Information.

It brings up the Current Media Information screen.

On the bottom right, there will either be a picture or you will see the VLC icon. Right click on it.

From the right click menu, use:
Download cover art: To get the album picture automatically from the internet.
Add cover art from file: Manually browse and choose a picture file.

The information will be saved automatically.

Source: https://gtbensmagazine.com/2018/07/14/how-to-add-pictures-to-an-audio-file-or-song/