Thanks everyone for your help.
I don't know what the deal is. I have album art in the Desktop version, but it isn't transferring. I gave up and went through and copied all the images manually into each of the folders on the SD Card
who knows...
@Gigi: Thanks for the link
@Jukov: I play my Axim over an FM Transmitter in my car with a power adapter, so battery power isn't a problem. It's just kinda nice to have the image art pop up with each new song. Nothing critical, just nice to have... :)