Your Cover photo is the large beautiful image at the top of your Profile. You can change your Cover by clicking the "Edit your profile" button on the right side of your Profile. A pop-up window will appear where you can "Change your cover photo".
Cover images must be at least 2000x1000px resolution, though the bigger the better! Up to 5 preselected options are determined by photos that are of that resolution or larger, and sorted by most votes.
You can also choose a Cover photo from the photo's page. On any of your images that meet the size requirements (2000x1000px) for Covers, you will see the "Set As Cover" button.