How to change this picture in steam (I don't know what it's called)

Hi all. This is probably silly, but how in the world do you change this circled image? Right-clicking on the whole thing then clicking "manage" can only set the one already there, not this empty one.

EDIT: I have failed to mention that this game isn't a steam game, it is a "non-steam game" that I added to steam.

EDIT2: Just found out that hovering over the game and keeping the cursor on it makes it go through a series of pictures, which leads me to believe that that is an "album" of several pictures for each game that gets downloaded with each game.