I don't suppose capitalization matters, but just to be safe I'd name it
cover.bmp
the specifications on the album art wiki page state it as "cover.bmp" so sticking to no caps would be safest. To offer a reason to why the album art isn't being displayed: which WPS are you using? does it have the correct album art code? What (pixel) size is the .bmp? if the WPS calls for 100x100 you should have 100x100 album art, unless your build has the BMP resize patch then you can have any size album art as long as the WPS is coded properly.
This is an example of the proper Album art code with resizing:
%Cl|50|70|s100|s100|
%C
hope that helps
