I'm not 100% sure what you mean but yes some albums are offered as one file. Some will be just the one mp3 whereas some use what's called Albumwrap. These albumwrap files are a little like zip files in that the songs have been thrown together but can also be extracted using the albumwrap extractor. See: How to Downld whole albums & Albumwrap

However if the files you downlded were not combined using albumwrap then you'd need an editor to separate them. Off-hand I could suggest Audacity (Free): http://audacity.sourceforge.net/windows.php