iTunes moving songs out of folder

I have set up numerous genres within iTunes, and then have folders of artists within the genres, and folders of individual cds within the artist folders. Everything has worked fine for a couple of years. For some reason now, when I play one particular artist (actually this has happened a few times, but use one for an example), the song plays fine. But if I go into the iTunes folder in Finder, the song I played has moved out of the CD folder nested inside the artist folder, which is nested inside the genre. A new folder appears in iTunes main window with the name of the CD it came from. I don't want it in the main window, but within the genre folder, then in the artist folder, then in the CD folder. This does not happen in 99% of the cases, but I cannot figure out why this folder and a few others are different, and why this is happening. Any ideas?