Every track in iTunes is considered to be part of an album.
If the Album title is blank Unknown Album is used instead.
Every track in iTunes has an effective Album Artist.
If Album Artist is blank, Artist is used instead, if Aritst is blank Unknown Artist is used.
To change track information for one or more tracks select them and press CTRL+I to Get Info. A different selection of properties are shown when working with a single track or multiple files.
To select a range of tracks click the first one, then shift-click the last one. Ctrl-click can be used to add or remove individual tracks from the selection. Ctrl-A will select all tracks in the current view.
So, if you want to merge a selection of tracks into an album, say the tracks you just pulled into a playlist, select them, press CTRL+I, and on the Info tab fill in the Album title and the Album Artist. Your new values will replace whatever was there before and the tracks should combine into a single album. The Grouping tracks into albums article provides further details and possible fixes when iTunes doesn't do what you expect.
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