You can easily change the cover of a video you've uploaded:
Open the "Video" section;
Click "My video" in the menu on the left;
Hover your mouse over the desired video and click the pencil icon;
In the window that appears, you can edit the name, add tags or select a new video cover;
If you don't like the suggested images, you can click "Upload my own";
In the window that appears, select a photo from your albums or click "Upload cover from computer" to upload the cover from your PC;
When you're done, click "Save".
All done! Now your video has the right cover.