I know that you can select a bunch of songs and change the 'Album' on all of them and that way they will all show up under the same album.
But Zune has a double issue ( i know as I just bought one) that it also uses the band / Album Artist tag to sort and show songs. I am seriously looking for a way to autoamtically plop in the 'Artist' filed in 'Band' quickly for say 10,000 songs... and can't seem to find an easy way to do that.