JavLuv will automatically attempt to download cover art when scanning for new movies. New preview/thumbnail art is up to you to generate or download. By default (you can change this in Settings), if it sees a movie ID + the name "preview / screenshot", etc in the name of an image, it recognizes that as a thumbnail image and will manage that image as appropriate. JavLuv doesn't actually use those thumbnail images anywhere, but it manages them because I figure some people collect those as well.
As for images showing up in folders previews. I think that's just something Windows does automatically if images are found inside the folder. That being said, it seems sort of arbitrary about what it shows. On my system, it often seems to want to show the .nfo file, which is kind of lame.
That being said, there are a whole lot of vastly better ways for search for movies inside JavLuv once you get your collection scanned. I rarely if ever browse in Explorer anymore, except for occasional maintenance.