If you are using XP you can sort by fields in the ID3 tag in Windows Explorer, so you can sort by album name if it's filled in.

Otherwise, in My KazaaLite K++ sort by album name, and then individually do a "Save As.." for each file in the album, to another location where you can easily find them using Explorer afterwards.

If you've got that many files I suggest you start to organise them properly in sub-folders for artist, album, etc, it'll make life easier in the long run.