I would suggest you spend some quality time with the User’s Manaul, as all of that is discussed in there.
But briefly, the covers are .metathumb (jpegs with a different extension). The description, plot, etc. are stored in XML files.
The WDTV can collect it itself via the Content scraper, or you can use a myriad of third-party tools to generate all of that more or less automatically.
Themes are also discussed in the manual.
