That all depended on the player though. I had a car stereo that played MP3 CDs that was able to see folder and navigate folder structure on the CDs. It was great, if your music was already organized in folders, by album for example.

My desktop stereo system, however, only saw the individual .mp3 files and did like you described. It was much more of a pain, but I usually just played from a computer in winamp (rip).