There are a couple of way to go about this, depending on how you mean your question.
PartyTime Jukebox will use cover art that you've already acquired as a means of selecting and playing through Winamp. It then shows that cover art while playing. I use this program, and while it isn't perfect, it works pretty good.
If, on the other hand, your looking for something that will automatically retrieve cover art, you might check out this program:
Gotcha CoveredI haven't used this myself, but others in another forum recommend it.
Hope this helps some, Dex
Edit: (In reference to the post below) While not a "plug-in" per se, PartyTime Jukebox does precisely as mentioned in
(a) below.