Wat is exactly right. Or look at it this way: Covariance is a linear operator in each of its variables (This problem's purpose was to teach you that, comes in handy in all covariance problems on the test)

Cov (X + Y, W) = Cov (X, W) + Cov (Y,W)

Cov (X, Y+W) = Cov (X, Y) + Cov (X,Y)

Cov (aX, W) =a Cov (X, W)

Cov (X, aW) =a Cov (X, W)

Does this help?

Yours,

Krzys'