Do you mean "put songs from different albums onto one list, to be played one after another"; how about a Playlist?
If you mean "how do I make all the songs on a compilation (various artists) album appear together, as they have imported into iTunes as separate albums"; you need to select all those songs, and click on File/Get Info/Info and in the box named Album Artist, type in "Various Artists". Then look on the Options tab (just allong form the Info tab you're on) and change the drop-down menu named Part of a Compilation to "Yes".