You can have them in the same folder as the movie, or in the Alternate Cover Art folder (check PMS GUI for this setting). As long as they are named the same as the movie, they should be visible.
There is most likely a .jpg or .png in the movie folder, named folder.jpg
If you don't see it in the folder, then you may have to "Show Hidden Files"
in Windows. Once deleted, individual pairing of movie to appropriate cover art should take place......assuming you follow the above tips.
Until you get rid of this folder.jpg , it will take priority over individual cover art.