There are two ways to change the cover photo of your album when you're logged in:
Open the album in the enrichment mode by clicking on the pencil top-right. Then select the picture you would like to set as a cover photo. Click on "use as cover photo" in the 'enrichment bar' to the left of your screen.
Open the album you wish to edit and right click the photo you wish to use as cover photo. Then select 'use as coverphoto'.