To embed the album artwork with the metadata tag of the music file you can use a variety of free software. Some of our PC users have reported that icoverart and mp3tag works very well (also for FLAC files and other formats). Here is a great tutorial on how to do this. For Apple Macs Doug's Apple Scripts for iTunes have been reported to work well. This article explains the free script for iTunes a bit more in detail.
Note: Album artwork must be between 4K and 16MB.