Well, you can see that this is a covering map on general principles : you have a discrete group ($\Bbb Z\oplus \Bbb Z$) acting properly discontinuously without fixed points on a locally compact Hausdorff space $\Bbb R^2$. This alone is enough to deduce that the quotient map is a covering map.
From the picture you provide, I gather the action will look something like
$$(1\oplus 0)\cdot (x,y)=(x+1,y)$$
$$(0\oplus 1)\cdot (x,y)=(-x,y+1)$$
EDIT: the action is incorrect, as the two maps don't commute, which is not surprising as the fundamental group of the Klein bottle isn't commutative, but is isomorphic to the group with presentation $\langle a,b\mid a^2b^2=1\rangle$.
FURTHER EDIT: The fundamental group I just described is that of the connected sum of two projective planes. The fundamental group of the Klein bottle is $\langle a,b\mid aba^{-1}b=1\rangle.$ Setting $a\cdot(x,y)=(-x,y+1)$ and $b\cdot(x,y)=(x+1,y)$ this works.