This happens to me, too. I'm pretty sure the reason it does this is because you might of downloaded the song from somewhere like limewire, which doesn't include album artwork; at least i'm sure they almost always don't. The album artwork that appears is dependant on the first song that appears when you click the artist's name. Click on the artist, go to the first song and right click then go to info. The last tab says "artwork", then click that then "add". You don't have to do this if you have just one song by the artist. However, if you are on the "album" tab, just right click on the album and go to "get info" and go to the last tab.

Or did you mean that when you try to add artwork, that you get a message that says you can't? If that's the case, then i'm not sure.