When burning an mp3 CD in iTunes 7, if you have the playlist sorted on the artist name or album name, iTunes will automatically create folders and subfolders on the CD. This unfortunately is not readable on many mp3 CD players (including my car). To not do the folders, sort either on time, song title, or song order (first column, unnamed, and ordered by default by when you added it to the list though you can reorder them), and then burn.
If you really really want them sorted by artist or album but without folders, first create a dummy playlist. In the real playlist, sort by artist or album, then select all (Cmnd-A) and drag into the dummy playlist. Delete the original playlist and rename the dummy to the name you want. When you sort on song number, it should be the same order as when you dragged into it.