MediaMonkey did the trick. I will rip all future CDs with it and have made sure the preferences are set to add the album art to the individual tracks.
I was also able to follow these instructions to add the artwork to my existing music:
Alpha Geek: Whip your MP3 library into shape, Part II - Album art
I started at the "A"s and have worked my way back to the "I"s. Should be finished tonight. Nice to see the Album Art and not the "big gray musical note" on screen.