I figured out what I was doing wrong thanks to something Jabo said.
Before I go into that though, let me answer the questions you had for me.
1) OS = WIN XP Media Center Edition SP2
2) It was copying the file to the artwork folder but the icon displayed in the browser was still "unknown.jpg".
The problem was my understanding of how it worked. I was not sure how it associated the artwork with the rom. However, it is clear to me now that it looks for a jpeg image with the same name. Once I gave it the same exact name it worked. In this case the rom I was using was a sequal to another game and in the title of the rom it had roman numerals and the image had the number 2.
Thanks again for the help!