I found the images in the program files/ejukebox/covers
and I also put these images into the separate music folders for those albums. But now I see a few pictures in my program which I do not have, where else could they be stored??

The covers can also be stored in the mp3 tags. You can use tag&rename to edit these mp3 tags; get it at -> http://www.softpointer.com/tr.htm

Yes, eJukebox first uses the images embedded in the mp3 files (ID3 tags). The "cover.jpg" images stored in each album folder are only used in case there is no image in the tags.
So if for some albums you have both, that will be the embedded image which appears in eJukebox!