The preferred method for importing your newly purchased music into iTunes is to take the folder that is extracted from the .zip file and to drag it over your iTunes library. This will automatically add the music and the attached album art.
Additionally, in Windows you may import by clicking on the "File" menu option and selecting either "Add File to Library" (for adding individual song) or "Add Folder to Library" (to import multiple tracks) and navigate the to the file or folders location on their harddrive. One may also select "Import" from that same menu.
In OS X click "File" and select "Add to Library" and one may select either a folder or an individual song.
