The Local Files Source
At the bottom of the sources list, there is a source called "Local Files". This is a special source that searches for images on your own computer, rather than an online source. It can be useful if you want to compare what is available online to what you already have, but you have to tell it where to look for them.
To do this, click the "..." button in the bottom right of the source box, and use the "Path to find images" box. By default, this will look for images in the folder that you have defined for automatically saving images to: %folder%, with the default name that they will be saved as: %filename% (see the Automatic File Naming section for details on how to set this). You can, however, enter any path pattern in this box. For example C:\AlbumArt\Unsorted\*%album%*.* would find anything in the Unsorted folder that had the album name anywhere within the filename.
You can specify multiple locations to search by separating them with a | character. For example, to search for images both in the default folder and filename, and in the unsorted folder given in the example above, the full path pattern would be: %folder%\%filename%|C:\AlbumArt\Unsorted\*%album%*.*
The local files source can also find images embedded within music files. Embedded images are specified by a suffix on the filename. For example, music.mp3<0> refers to the first embedded image within the music.mp3 file. When searching, the wildcard * can be used to find all embedded images: music.mp3<*> would return all the embedded images within the music.mp3 file. So, to find all embedded images within all files in the folder, you could use %folder%\*<*>