(related) checked cover art settings in Picard:

• save cover images as separate files
• use the following file name for images: cover
• overwrite the file if it already exists
• cover art providers: cover art archive
• download only images of the following types: front
• download only approved images

picard.exe.log:
E: 12:26:18 Traceback (most recent call last):
File "picard\util\thread.pyo", line 46, in run
File "picard\file.pyo", line 197, in _save_and_rename
File "picard\file.pyo", line 326, in _save_images
File "picard\metadata.pyo", line 143, in save
File "os.pyo", line 150, in makedirs
File "os.pyo", line 150, in makedirs
File "os.pyo", line 150, in makedirs
File "os.pyo", line 150, in makedirs
File "os.pyo", line 150, in makedirs
File "os.pyo", line 150, in makedirs
File "os.pyo", line 157, in makedirs
WindowsError: [Error 5] Access is denied: u'H_'

(The disc drive it's trying to save is H: