Hey Foyboy543.

Recall that E[e^(tX)] is the moment generating function and the MGF has a known form for the normal distribution (Replace the t value with a c: they are after all just dummy variables).

Also recall that Cov(X,Y) = E[XY] - E[X]E[Y] and we know that E[e^(tY)] = MGF_t(Y) so now we need to deal with E[Xe^(cY)]. If these are not independent or un-correlated, then you will need to resort to the definition of E[X*e^(cY)] using the integral formulation under a bi-variate distribution.

Since you have all the information for the joint PDF, you can calculate the above to get a specific answer.