1: How can I dock the Mini Player in the taskbar? When I go on window settings, there is an option for taskbar, but when I click in the taskbar the player goes away.
Not sure, but there seem to be some bugs in the docking feature which I've just discovered and have reported to Steven. Wait till he replies is my guess.
2: How can I display the Cover beside the Albums like in WMP? The pictures are saved as folder.jpg.
First, click on the button to the left of the search bar, then select
Album and Tracks from the drop down menu. Your artwork should then hopefully appear in a similar (but significantly more customisable) panel to WMP. If it doesn't, you may have to change the artwork retrieval settings. Press Ctrl+O, then go to
Tags (1). Under the Artwork Storage heading, click
Set Retrieval Filter... and move
Folder.* to the top.
3: Can I change colours? I want to change that grey in the player and when I click on a title it's yellow. How can I change that?
Not quite understanding you here, but I think you want to change the skin. Click on the MusicBee menu in the top left corner, go to View then Skins and select your skin from there. As a preview, you can view them all on the wiki
here.
And if you need more help, feel free to ask here again (someone will usually be able to tell you) but consider looking on the wiki first. It's a great guide to lots of features.
Bold words in my posts are links unless expressly stated otherwise.