Davy's instructions are accurate, but I prefer to change all the tracks at once to be sure the info is identical. Also, artist names (or at least album artist names) also need to match for cover flow to work properly.
Try this:
From list or grid view, pick all the songs that should be part of one album (you can select multiple songs by holding the command key while you click on a mac, on a PC it's probably CTRL + Click or something).
Right click (ctrl+click on a mac) on any of the selected tracks and hit 'get info'.
From the window that pops up, click the 'info' tab.
Change the artist (or album artist for a compilation), and album name to whatever it should be for all the tracks (for album art, change the album art on this step, although beachboy your problem may also be artist of album name).
You can also do all those steps before importing a CD to save yourself some time later on.