How do I change the photo album cover?

On the main photos page, you can have Photo Albums. Each album can have a 'cover photo' that covers the whole album block:

To change this image, you need to navigate to the photo you want to use. Below the image, there is a row of 'Set as' options. If you are the one who uploaded the image you will see an option for 'Set as: Album Cover'. Click that and it will now be the album cover.