Calibre not saving downloaded covers

I have noticed when copying books to my Glo or Mini that on some books the first page inside the book is shown as the cover.

When I have imported the book into calibre and downloaded a cover via edit metadata, even after saving the file it is still not showing as the cover on the book.

How do I change calibre's settings so that it will do this for me.

I am using f/w 2.51

Thanks
Nascarfan1972