WMP 12 is fairly new, so no there wouldn’t be a lot of posts here if you’re using that as your search criteria, but the principles should be the same even with the older WMP versions. Not having WMP 12, I can’t say for sure if the 'Advanced Tag Editor" is gone, or simply moved & hidden elsewhere, but there’s ususally more than one way to skin a cat.
You can also embed album art into an ID3 tag with the free (and highly recommended) MP3TAG. Much better than the so-called ‘Advanced’ tag editor in WMP.
Or do what most of the people here do and just add your album art (jpeg image) file to the Album folder. Name it ‘album art.jpg’ or 'folder.jpg; either one will work.