If the CD player is like all the other MP3 CD players I have used then it will play any MP3 it finds in any directory (up to three deep, I think) in alphabetical order (directory, directory, ..., trackname).
So you could organise your tracks like this:
Code:
ArtistName1
- AlbumName1
- TrackName1
- TrackName2
...
- AlbumName2
- TrackName1
...
- AlbumName3
...
ArtistName2
...
and it would play the tracks in the above order.