Go to the map editor (in a WordPress post) and click a POI (a marker). You should get a POI editor where you can enter a title and body.
If you’re showing a single map, there’s a small button in the POI editor where you enter the POI title and body. That button will let you insert an image for the POI.
If you’re using a mashup, you can just set the option on the MapPress settings screen and the plugin will the show featured image for the post in mashups automatically.