You don't have to download anything, VLC works well with album art 'out of the box'.
Since it is unclear to me whether you are asking how to
(1) manually add, or
(2) automatically download, album art, I will answer both:
- Manually Adding Album Art, or Downloading One Album Art
Tools > Media Information (CTRL+I) >"General" Tab >
Right-click on the proxy (default) orange cone picture (1" x 1", on the bottom right)
> Select "Add cover art from file" or "Download cover art".
> Change any value (e.g.: the Artist), only then the 'Save Metadata' button will appear, after it does - press it.
Performed on v2.1.4.
- Automatically Downloading All Album Art
Just go to "Tools"->"Preferences" menu. Under the "Interface" tab there is a "Privacy/Network Interaction" section. Under "Album art download policy" choose "As soon as track is added". See screenshot below.
This will download the album art for any song you play.
See screenshot below:
