Well it is likely due to one of the following reasons:
You aren't connected to the Internet when ripping a CD.
You're connected to the Internet, but the online database is missing album art (or there's no media information at all) for the CD you are ripping.
Your system administrator has prevented your computer from downloading items such as album art from the Internet.
You ripped the CD using a program other than Windows Media Player; doing so might prevent the Player from finding a match in the online database.
Finally, if the online database contains incorrect album art for a CD, the Player will download that album art.
Read more about adding or changing album art in Windows Media Player
Get more help for Windows Media Player