An update on this: last night I uploaded a compilation CD, and got it to put all the tracks into the same folder on the player, by renaming the artists to all be "Various" (or anything that doesn't clash with any other artists already loaded) - you can do this easily in Zen Media Explorer by typing it in once and clicking on "apply to all" (it will replace all the real artist names with your chosen name). This fooled the software into thinking it was an album by someone called "Various" and it put all the tracks under the same album in the Various > Blah folder (where Blah is the album title - obviously you can use the real title).

I then had to manually right-click on each track and change the artist name for each track back to the real artist (this is the boring bit, but it's the only way I've found to get all the tracks of a compilation album into the same folder).

Doing this means that when I select on the player by artist, I don't get all those 1-track artists displayed, and can just select Various, then select the album, then play it.

OK, I could have just loaded the tracks as it wants to and create all those '1-track albums', filed under artist, and then create a playlist to group them all together.

But I think it's better this way, even though it's tedious to have to do it (and I still can't see any good reason why the software won't let you drag and drop files between folders on the player itself - it seems an unnecessary and pointless restriction).

The reason it's better, is because I can choose whether to select an album (I get the album listed under "Albums"); or select Artists (and I don't get all these "1-track wonders" listed, which makes the Artist list very long and tedious to scroll through); or of course I can still create a playlist with anything I like in it (e.g. make up my own compilations from existing albums stored in folders).

It would be nice to do what Foolstroupe said, and have all the files on the PC to manipulate them there, but my PC's a few years old and I don't have 30GB going spare on it (maybe I'll upgrade sometime, but I'm not planning to just yet). So as I was loading albums, every now and then I would delete some of them from the PC after loading to the player, to free up space for the next lot.