The box art is part of the game submission when you upload your game here for play testing or peer review. See http://xbox.create.msdn.com/en-US/home/faq/xbox_live_indie_games#xboxfaq-submission for details.
There's nothing you can do to set the box art when you are just testing the game. You can set a game thumbnail in the project properties of the Xbox game project in Visual Studio but that won't affect the grey background, just the icon next to your game and any storage files it creates when you're browsing through your hard drive in the storage settings from the Xbox dashboard.
I am pretty new to XNA but have found this information that you may find useful to your issue.