Your albums are normally stored as folders but depends how you've copied the files from your computer. If you use windows media player to synchronise tracks only the files will be copied to the mp3 player's root directory (the start of the player's disk drive).
The best thing to do is create folders on the mp3 player and name them as albums. To create a new folder simply double click on the Removable Disk drive in My Computer (Computer in Vista) right-click in the Removable Disk window, select NEW and select NEW FOLDER. Name that folder to the artist's album name. Then move the tracks that belong to the album to that folder.
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Mike 
SOSmp3.com helper
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