I've found that some things are not quite as well-implemented in the Windows version of iTunes, but the basic rules should still apply. For this post, I'm going to assume that you're using the Mac version of iTunes.
It seems you have a few questions; I'll try and address them individually:
1) Re: Adding album artwork you've found online
If you've searched around and found the art for your albums, you'll need to save all of the image files to your hard drive before they can be assigned to the albums in iTunes. I find it helpful to make a folder on my hard drive called "Album Artwork", and just save all of the image files (.jpg, .png, .bmp, etc.) to that folder -- that way, when I go to assign them in iTunes, they're all in one place.
Open that folder, so that its window is open. Then go into iTunes, and go to the albums you want to attach the artwork to. Select all of the songs in the album (click, Shift-click), then right/Ctrl-click on the selection, and click "Get Info". Then do one of two things:
a) If there is only one song in the album, the standard "Get Info" box will come up. Click on the album art tab, and then go back to your album artwork folder, and drag the image you want to the empty artwork box in the "Get Info" window. Click "OK", and your artwork is applied!
b) If there is more than one song, you'll get a different dialog box. First, unless you've disabled it, you'll get a warning asking you if you want to edit the information for multiple files -- go ahead and click "Yes". Then the dialog box that allows you to edit the information for all the songs you've selected comes up. There are no tabs in this window, like in the "Get Info" box for a single track; instead, all of the editable fields are available in one window, including a little empty white box for album artwork. Like with the single song procedure, go back to your album artwork folder, and drag the image you want to the empty artwork box (a little checkmark will appear next to the box, which will now show a little thumbnail of your artwork). Click "OK", and your artwork is applied!
Do this for all of your albums, and then re-sync your iPod; all the artwork should now show up.
2) Re: Advanced>Get Album Art.
Generally, unless there's something else playing/transferring/converting/etc., iTunes will show the progress of the album art retrieval in the little window where it shows the track info and audio scrubber for a track that's playing. If it's worked, you should be able to see the art on the albums when you're in Cover Flow or Album View; otherwise, you can bring up the little slide-up window in the bottom left corner to show the art. Putting it in Cover Flow is the easiest method, in my opinion, because as the art is being applied, you'll see the images appear in front of you in the Cover Flow display.
Sometimes, if you have a song or album selected, it will only search for art for the ones that are selected. If you're finding that it's not getting the art for you, try either selecting everything in your library, or having nothing selected at all.
Also, in the Mac version of iTunes, when you're in Cover Flow, you can right/Ctrl-click on an album cover and click "Get Album Art", and it will search for that album's art and apply it, without your having to select the songs yourself. Also, remember that not all albums have art in the database iTunes accesses, and that if you don't have a proper iTunes account, it won't search for you.
3) Re: Adding art for every song in an album.
When manually attaching art to albums, the album art is only applied for the songs that you've selected and attached it to (i.e. just because you add it for one song in an album, it will not automatically add it to the rest of the songs in the album). To get it for every song, and therefore the album as a whole, you can apply the art using the batch-adding method I detailed above (1b).
If you're adding art automatically (i.e. via Advanced>Get Album Art), then it will add the art to every song in the album automatically.
I hope this helps! Let us know if this works for you.
Good luck, and take care,
Sojourn