Thx ultimate509, I've downloaded ResurrectionX roms + artwork from there.
But it doesn't work at all.
In ZSNEXBox 3.6 all your screenshots are saved into the Artwork/Shots 1 folder, that's where I put the covers but when starting the emu, SOME games have covers some don't. For testing I've downloaded a .jpg cover via google, saved it as .png via photofiltre and surprisingly, then it was displayed properly in the emu. Are you sure this ResurrectionX-guy knew how to save .pngs?
As for the latest NES and SEGA Madmab editions, I'm supposed to move the covers into the
"media/artwork/front covers" folder and then redirect in the emus options to the media folder. Neither emu displays covers anyway.