How do I play a single folder of music in iTunes

Hi
I have a folder that contains all my music, separated into subfolders.
I have imported the music into iTunes.
Some of my folders are collections of songs that I download onto an mp3 player, and are named as such (AA Dons Chill, AB Dons Chill, AC Dons Chill, Christmas compilation etc etc...you get the idea).
When I try to play one of these collections using iTunes, I cannot find the collections. If I try to play the music direct from the folder, I only seem to be able to play one track at a time.
I have also noticed that iTunes Does not list an Album called Millennium Songs, instead the individual songs are listed separately and identified as coming from Millennium Songs.
Am I being thick, or am I expecting iTunes to operate in a way it was not designed to do.