@JohnnyBook: Actually, he didn't

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While I did mention that the easiest way to get covers was to use Send To Device, I did also say that checking the 'Enable sharing' output setting should help when not using Send To Device

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@pufff: Make sure that you reconverted the file, and, if you're trying to download a book that's already on your device, that you deleted it from the device first (preferably from the device's UI).