if it has the ability, not sure what version starting using the cover, but you need to put the box art in a folder called "covers" in the FCEUGX folder. the name of the boxart cover needs to be the same as the rom file name. (i.e. the rom file is "Super Mario Bros." so the cover would have to be named "Super Mario Bros.". Then in the program go to settings->Menu->and change preview image to covers.
If that doesn't work, make sure the covers is correct path. Go to settings->saving and loading-> and set covers folder to "fceugx/covers"
Also, maybe update the program to 3.4.5