title them like this: "albumtitle.jpg", in the root folder for where your MUSIC is located. For instance on the Ipod the root for music is in the "Music" folder, because after that they split off into random folders, then in those folders are the actual music files.
so what you want to do is work it backwards from your actual music files, and when they all meet at 1 folder, place the picture file there for the album titles
on a side note, check to see what picture size your player is able to display