Windows defaults to displaying the artwork from the "folder.jpg" file before it looks at the individual file to see if it has artwork in it.  The most likely cause is that you have a "folder.jpg" file already in your album folder.

To overwrite the existing "folder.jpg" files in your album folders, please do the following:

• Open the options window (top left).
  
• Check the box labeled "Save artwork in album folder as: "Folder.jpg"
• Now, when you save your album artwork in MuvUnder Cover, it will save it to Folder.jpg and Windows Explorer will display the new artwork.