Create an ASX file, which is basically a "Windows Media Playlist".
Create a file called NameOfMyAlbum.asx
Open it in Notepad and enter:
<asx version="3.0">
<title>My Album Name Here</title>
<entry>
<ref href="track1.wma" />
</entry>
<entry>
<ref href="track2.wma" />
<entry>
</asx>
Add as many <entry> as you need for the tracks on your album. The tracks don't have to be WMA, they can be MP3 too.
Then just click the ASX and off you go. Hopefully
