About the 'Previous' button, i'm using Winamp and it works as it should. please check here
[link] for more info.
If you want the cover art to show, it needs to be in the same folder as the song your playing and named the same as the album. for example if your playing a song from the album 'Not Of This Earth' the album art should be named 'Not Of This Earth.jpg' or it can also be named 'folder.jpg'.
AFAIK it cant show embedded art.