I seem to remember being able to copy a jpg onto the clipboard, and then going into mp3tag and the "paste" option would be available when I right-clicked (in Vista, presently). That no longer works. mp3tag doesn't seem to detect artwork on the clipboard anymore. So sad!
Almost always it's just Windows Explorer. I browse to the picture, right-click and "copy", then go into mp3tag to paste. Like I said, I'm pretty sure that used to work, but no longer.