See the FAQs on how to create an action - there are 2 buttons in the tool bar for actions.
/t/967/1
The different types of actions are described in the online help:
https://docs.mp3tag.de/actions
In this case I refer to
https://docs.mp3tag.de/actions/import-cover
So:
Load all the files into MP3tag.
set a filter so that you only treat the files without an embedded cover:
%_covers% IS ""
Select all files
Create an action (quick) (toolbar) of the type "Import cover from file"
Enter as filename:
%_filename%.jpg
(this takes the filename from the current music file and tries to find a file with the same name but the extension .jpg)
Do not tick "Keep existing cover".
Click OK to run the action.
After that press F3 twice to update the files list for the filter criterium to see which files still have not got an embedded cover.
For these either there was no file at all or the filename does not match. You then have to think of a different name (e.g. *.jpg) for another run of the action or check if there is no file in the folder.