This is what I do. Media player library takes some understanding so you are going to have to play around.
This is from memory..............
All the various tracks that comprise one album should be in one folder in "Music". Call it your "Christmas Mix" by renaming the folder as such.
Open the folder and label (rename) each track where it says "Name" by begining or adding 01,02 etc in front of each track title. That will put them in an order you want in that folder and in the order they appear in the media centre library.
Under "album" at the top header in the folder view call each track "Christmas Mix"
Not sure what you might put under "Artists" for a compilation. Your going to have to try something like a generic title such as "Misc" etc as well as trying individual terms to see what happens.
I then add a small picture of whatever album cover I want calling it Z_ Christmas Mix Icon and put that in the folder. It will go to the bottom of the list. You can then add that picture to your folder (easy in Vista :)), in W7 you have to find the folder in "computer" and right click it to bring up the customise option and there you can pick your picture to use on the folder.
Open media centre and the album info should be updated... can be slow for a lot of imported files as it runs as a background feature. If the artwork is incorrect right click the album and browse for and select your newly created icon in the album folder.
That should put your album in the library. If you want to alter anything do it in the folder in "Music".
To update to the new info I can't remember whether you have to delete the album from library and let it pick it up again or whether right clicking and selecting "update album" works.
Have fun... it's worth getting to grips with.