While in your iTunes Library, hold down the Shift key, and select the list of songs you want (if they are in a row), or hold down the Command key and select the individual songs you want (if they are not in a row).
Then click Command+I (letter "I"), and you will see a message that says "Are you sure you want to edit information for multiple items?". click Yes.
At that point, you will see the Info screen:
Type the name of the Album that you want assigned to the group and then click on OK.