Try CD Art Display at http://www.closetosoftware.com/?s=cdartdisplay. It works directly with MediaMonkey.

There are various WinAmp plugins available that can show album art popups. Some have been discussed here on the forum.

I use Konfabulator, eh Yahoo Widget Engine and a widget called "Picture Frame". It shows random pic's from "My Pictures" folder, where I also store copies of all my album covers.

The thing is, I think it looks good when the album art comes up and noting else on the desktop...