If you don't want to see individually shared files, you can put all of your music in one folder & then share that folder Or, if you like to store your music in different folders according to artist etc, you'll need to share those whole folders.

You'll see individually shared files when a file/files are being shared but not the whole folder that they reside in.

Check out the links below for more info
Individually Shared Files/ Shared?

Downloaded files in Individually Shared Folder

Individually Shared File - LimeWire