OR, as VisualMR for the Roku does for those not familiar:
Since it too doesn’t know the location of the music file it allows you to specify a common directory where art work is stored in the format _.jpg. It queries that directory then as each track is played. It does also default to Amazon.com for art work if no directory is specified but I have found that what it retrieves is accurate most of the time, it does fetch the wrong album cover occasionally. I use MediaMonkey to export all my artwork in this format to a common directory that VisualMR uses – works fantastic!