You are probably clicking on the "Click Here To Add Cover" link on the album view page.

Open each individual CD in the set, go to the Cover Tab, then put the album cover for the individual CD there.

I usually give CD #1 the Box Set cover and then each subsequent individual CD their own cover.

On 2 CD sets I give CD #1 the Cover and CD #2 the back cover.

Hope this helps!

Bob