You can safely delete those weird AlbumArt_{08FBCB95-2831-4FCD-A7BF-D62CEB2CA041}_Small.jpg
files - Windows Media Player creates them if it finds varying embedded pictures in the files of one folder.
Did you know:
you can create folders for the music files with the help of mp3tag.
see the FAQs: /t/8016/1
And you can extract the cover files to a single but different folder if you include a path component in the format string for the filename e.g.
Cover Art\%album%.jpg