If you have Gold, there is a search option for this as well. Go to the Advanced tab, and then select "Status" as the property. One of the options on this property is "Has/Hasn't Artwork".

Thanks!

Use the tree (in the left hand pane):

Entire Library > Files to Edit >

Click on Unknown Artwork

I have looked through the search options and I don't see the ability to search for files that have no artwork. Am I missing this or does it not exist? Thanks.