Media Player -> Tools -> Options -> Library Tab -> Check 'Maintain my star ratings as global ratings in files' to preserve your ratings.
Windows Media Player doesn't embed Album Art into the file; it saves it as a Hidden System file in the folder (where the audio file is stored), named something like AlbumArtLargexxxxxxxx and AlbumArtSmallxxxxxxx. To embed Album Art into a file, you will have to use some other tagging program like MediaMonkey (I think iTunes does this too?).