That's probably the artist's picture (settings under lock screen). If you get any music from Zune marketplace, you'll get that. Else set yours in Zune player and export 

The music lock screen images ARE NOT the album art. Zune will show images of the artist whose song is currently playing on your phone. Either you didn't set your Artist name properly in your Zune or the artist isn't recognized by Zune(for example most asian artists). There is no way of manually adding the images for the music lock screen thing.