It really depends on how YOU want your file structure. You just want it in a way that you can find what you want easily.
SInce the HUB already sorts Movies, Music and Photos for you (ie: if you select Videos from the main menu, only your videos will show up, same with Music & Photos), you really don’t have to worry about that. The only thing you have to do is to have your movies either in folders so you can find them easily, although you don’t have to.
The way I have mine structured is I have folders named Movies, TV Shows, Music & Photos. In Movies I have folder named Action, Adventure, Animation, Comedy, etc., this just makes it easier to find what I’m looking for. In TV shows, I have folders named for each show, then folders for each season. And for Music, each artist has its on folder, then a folder for each album. Photos are just lumped all together.
Not really sure which art work you are referring, but if its for Movies, you just select option, get content info when you have the file up on the HUB, this will get both the coverart & backgrounds. For folders, you have to put folder icon in that folder named “folder.jpg” or “folder.png”.