The way you’ve organized your files on the hard drive looks fine. But read on . . .
I assume that dBpoweramp put in the correct metadata for you (it should have) – in other words the band’s name goes in the Artist field, the album title into the Album field, the song name in the Title field, etc. It’s the metadata that governs what you see on the screen, not the file name as stored on the hard drive.
About art: there are several ways of organizing this. Putting a cover image for an album into the same folder as the song tracks, with the name ‘folder.jpg’, is a standard method and should work fine. It’s also possible to embed the art directly into each file (again, with dBpoweramp – at least with some formats such as FLAC; not sure if this works with all types of audio files). That works too and is insurance if you are moving files around the ‘folder.jpg’ accidentally gets separated from the album it goes with.