MP3 Diags
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Just because you downloaded an image, doesn't necessarily mean that it will be embedded into the songs from the current list. The assignment of images to songs is done automatically only when downloading full album info from Discogs or MusicBrainz. In the other cases you'll have to assign the image manually.
Note that even if you can't find the album cover at Discogs or MusicBrainz, once you can see it somewhere on your computer, it's pretty easy to embed an image into MP3 files. If you have a local JPEG or PNG file, just copy it or its name to the clipboard and click the Paste button in the tag editor (or press CTRL+V.) If you find the image on the internet and you can see it in your browser, chances are you can copy it straight from the browser and use the Paste button. (In Firefox 3 there's a "Copy image" option when you right-click on an image.)
If the songs in a directory are not all from the same album, you may want to select the "Picture" column in the current album and the click the "Toggle assigned" button, to avoid all the songs being assigned the same image.