If you don't have an internet connection on your media center, or don't want to use the automatic download of media, here is how you can manually add thumbnails, posters and fan art to XBMC items.
Use JPG or PNG (with transparency) image-format, and size of the picture to anything from 128×128 to 256×256 in pixel size, (the larger the image is the better it will look on a good display but at the same time large thumbnails loads slower).
XBMC will cache all thumbnails to userdata\Thumbnails\. In order for your custom thumbnail to show, you may have to delete the cached thumbnail.
Individual items inside a folder (bust be named .jpg, even if it's .png):
Movies\path\moviename.avi Movies\path\moviename-poster.(jpg/png) Movies\path\moviename.jpg
Folders:
Movies\path\foldername\ Movies\path\foldername.jpg
or:
Movies\path\moviename\folder.jpg Music\path\album\folder.jpg
Music:
Music\path\audiofilename.mp3 Music\path\audiofilename.jpg
And playlists:
Music\path\audioplaylistname.m3u Music\path\audioplaylistname.jpg Music\path\cuelistname.cue Music\path\cuelistname.mp3 Music\path\cuelistname.jpg Music\path\shoutcastlinkname.pls Music\path\shoutcastlinkname.jpg Music\path\audiostreamname.strm Music\path\audiostreamname.jpg
Relevant information collected from XBMC Wiki