Here is a simple tutorial:
This tutorial uses iTunes.
You will first need to prepare you Album Art. Youc an use any photo editing software...I recommend some form of Photoshop. Make sure your dimensions are 300x300 pixels at 72 dpi. iTunes loves this setting. Save your file as a jpg and remember where you saved it.
1) In iTunes, right click on the file you would like to add "Album Art" to.
2) An info window will pop-up. Choose the "Artwork" tab.
3) Choose "Add," navigate to where you saved your Album Art jpg and select it. Choose "Open."
5) Now all you have to do is upload your file to your server. Now everytime someone gets your podcast and plays it in iTunes or on their iPod...they will see your album art. You will have to do this for each individual podcast session.
Another quck tip is that you can drag your art to that window if you want.