you can check for hidden album art and also edit it by doing this:
Say your song is stored in folder c:\songs\albumz\z.mp3
start any photo editing tool
do: file>open>then type in c:\songs\albumz\AlbumArtSmall.jpg
if you are using wmp then it is possible the it automaticaly downloaded album info and art
Simpler way: if you have ares then let it hash your somgs folder and use the ares library to check all the album art on your system