I use Windows Media Player to rip music CDs onto my hard disk as MP3s.
I connect the SD card to the USB port on my PC using an adapter, available from any decent computer store. Try to get an adapter that supports USB 2, copying 1GB to the SD card using USB 1.1 is SLOW! My laptop supports USB 2 and my desktop USB 1.1 the difference in time to fill a 1GB SD card is huge.
And then, as craigyb says, just copy the whole folder (directory) containing the album onto the SD card. I go one step further though - Windows Media Player creates a folder structure in the "My Music" folder of (Artist) -> (Album) and I copy the whole of that structure.
The RETURN key on the RNS-E navigates up 1 level in the folder structure on the SD card.