Do you using latest version of WordPress ?? , or you just have been update your WordPress into latest version ?? (note : latest version is 3.1.3) . For Standard theme you will found set featured image. Ya , its new feature from new version of WordPress, they include a module to set a featured image into your theme :). Unfortunately you have choose a WordPress theme and that WordPress theme not supported with featured images? Don`t worry , There are how to add featured Image on WordPress theme.