Thank you for confirming. Although this problem is solved, I would like to know more. Before I was trying to Cov(X,Z) directly without subbing the 'X+Y', and problems rose there. Because
Cov(X,Z) = E(XZ) - E(X)E(Z) then,
E(XZ) = ∫Dxz fX,Z(x, z) dD, where fX,Z(x, z) is the prob. density...