When you burn a CDR or CDRW with MP3 music, you are making a data CD as opposed to an audio CD. A data CD simply holds computer files in an organized directory (folder) structure. While you can put other (than MP3) file types on a disc, or create nested hierarchical folders, the Jensen player will ignore these. It will see the nested folders (up to 8 levels deep), but it will treat each nested folder as if it is at the same heirarchical level as its parent.
Folders help you to organize your music for faster access. The player will automatically enter and exit each folder as it plays the disc, and the folder organization has no effect during random play, but you can move forward and backward by folders, or go directly to the start of a folder which greatly facilitates finding a particular song.
This figure shows an example CD organization with three folders, but you can have many more than that. Suppose you are currently playing the song "Laughing" in the "REM" folder, and you wanted to get to the song "If It Makes You Happy" in the "Sheryl Crow" folder. You would skip forward two folders to get to the "Sheryl Crow" folder, then skip forward four tracks to get to the desired song. Although the types are not shown, each file must be an MP3 file.
Most CD burning software will alphabetize the files within a folder (and alphabetize the folder order too). You may want to use simple file names like "track1.mp3" etc. in order to create the ordering that you desire. The ID tags inside the MP3 file can still cary the precise song title etc.
Organizing a disc by album is only one possibility. You can choose any organization you want. For example you could create a folder of classical music, a folder of jazz music, a folder of folk music and so on.