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
I know this article has aged, but I'm just revisiting this issue after getting fed up a few years ago.
I understand all the various ways an individual album can wind up with the wrong art. But...
The issue I'm having is that albums for which no information was sought, but which did not have an album art image assigned, are all getting assigned the art for some random album in the library. I.e. the 50-100 albums that don't have art in the online database and for which I've never scanned and set the art explicitly, instead of having no art (and having placeholder text in Media Center), they are ALL set to the same album art.
What's up with that?
I've tried fixing it by writing a program to attempt to delete every bitmap it finds with that art. That worked once, but apparently it's not a perfect solution, because the next time the problem showed up and I used the program, it didn't fix the problem.