Nick,
Itunes does not import the cover art from Windows Media, I ran in to this as well. It will find cover art if you import from the cd to Itunes in the future.

However, there is a way to get the cover art into Itunes: This is what I do, (if anyone has other suggestions please let me know).

Go to your My Music folder.
Highlight an Album Folder.
Go up to Tools
--Folder Options
----View Tab
-----Choose show Hidden Files and Folders
----- Also, "Uncheck" hide protected operating system files

This will allow you to see the Album Artwork files in your album folders. Right click and copy the Large Artwork file. Go to Itunes and highlight all the songs that you want to apply the artwork to. (Highlight first, shift highlight last) Right click--Get info (yes apply to all selected) Right click and paste into artwork square.

That should do it. It's kind of convoluted, but part of the problem is that Windows Media hides those files in the album folders. You can always also go to like Amazon and right click and save album artwork to your desktop and then add it to Itunes the same way as above; however, sometimes the image is not as clear.

Finally, I usually go back and change those folder options, just in case there's the chance that something can happen to those hidden files that you don't want to happen.

I hope this helps,
Tom