How to set the video cover when i output it from premiere?

If you mean Poster Frame, I don't believe you do that with PP. PP can set a poster frame in the project when your are using Icon view, but not file exports.

I do not understand what you mean by "video cover"

These links may help you

Codec tutorial https://community.adobe.com/t5/Premiere-Pro/Adobe-Premiere-Pro-Tutorials-Video-Codecs/td-p/4788943
Codec VS Format https://community.adobe.com/t5/Premiere-Pro/Video-Formats-Codecs/td-p/5378341