Not a problem regarding the assistance. It took some figuring out to get a handle on the 'how' as opposed to wondering the 'why' of how different media players use and access album art (and how to link them with media file); in my case, WMP and Winamp; and I'm pleased to save you the trouble and spell what I've learned out plainly. I'm glad my explanation was succinct enough; I'm afraid I'm not the greatest of teachers.
As for your question regarding album art, I can try to explain what I've gathered from my own experiences:
Winamp, as far as I can tell, doesn't what's called 'embed' art in a given music file. Usually when I either import album art (Load Artwork on the Album Art tab) or sometimes find a hit in the Album Art search feature (Download Artwork on the Album Art tab) it saves a JPEG in the appropriate resolution with the same name as the album's save directory (presumably the album name, in most case, spelled the same as the tagged album spelling) that directs Winamp to display that graphic in the Album Art window when that MP3 or group of MP3s is played. Alternatively, you can simply drop the album art in the album's folder in Windows Explorer by titling it 'folder.jpg' (make sure the suffix is spelled 'jpg'- if it's spelled 'jpeg' WA may not recognize it) and Winamp should cue it up automatically.
Windows Media Player: this gets a touch more complicated, and outside of MP3s (in the case of lossless WMAs, which I use frequently) I'm partly guessing at this. WMP downloads art from their own service when a CD is ripped (regardless, AFAIK, of ripped format) and saves two or three low-rez linked cover art graphics (usually JPGs) that are both linked directly to that album (and directory) as opposed to the individual MP3s if they're moved out of the directory they were original ripped to (which I have found will have WMP display no album art as a result). It might occur to a body that you could move the linked JPGs with the MP3s as long as the whole thing is together, but regrettably (and I have yet to find a way to make the attributes stick in Windows Explorer for these files) the linked graphics are all Hidden. Programs like IrfanView (freeware graphics viewer) will recognize them but I have yet to be able to manipulate them as necessary in Explorer. However, in the case of graphics you add manually in the Advanced Tag Editor, said graphics are directly embedded in the music files (making them functionally a part of each file). This is the most reliable way to ensure (or attempt to ensure) an orphan music file will or will likely retain its album art on an MP3 player or smartphone.
As for your Android, I have so little experience with smartphones and their format styles that I really couldn't tell you with any certainty anything worth supposing. Sorry about that. But I'm happy if I've helped outside of that!
Have a good one, and by the way, a very Merry Christmas to you and yours!