Some people do offer entire CD's as one complete file. Best to search using the 'Album' category in LW.
But to dwnld all individual songs of one album, again you can search by Album but there's no guarantee you'll receive all results or that you'll succeed in dwnlding all tracks easily. Some people only have a certain no. of slots available for uplding files so you may need to wait for some of the lesser popular tracks. Particularly if the sources are dial-up users who have limited upld bandwidth & probably only 1, 2 or 3 slots which might be taken up by people dwnlding those or other files.