I found the moderator's info to be true through experimentation. I listen to a lot of music that's just not on the database. I scan all my CD covers and store them on my hard drive, so I have local images of all my CDs.
WinAmp seems to look at the ID3 tag and get the album title. So if you have a local image you can check the ID3 tag and make the filename of the image the same as the title found in the ID3 tag, and it is case-sensitive.
I was sort of miffed to find that only 3 of Sting's albums have cover art online, and I'd rather use my own scans, anyway, because mine are perfectly square (300x300), while the downloaded ones are sizes like 200 x 195, 200 x 198, 200 x 196, etc...
Now I just need to find out if it's possible to have the album art displayed at 300 x 300.