This interests me a lot. Not sure why.. but where abouts on my system is the covers stored for the albums?

Can't find them no where :s that of course, is if they are stored locally after being downloaded (i assume they are)

Yes, the images downloaded are stored in a local database: ejuke.asn. This file is located in the eJukebox directory. But they are only usable via eJukebox.

They can be found as bmp's in your temporary internet files folder as well...

Not really sure how this procedure works, but i assume the images in the database are kept as ready-to-go bmps (the most efficient format for easy loading into memory, as no decoding is required). You can freely clean up your temporary files folder though, as eJukebox will unpack the images to this folder if they are missing.