Warren
From what I think you said it should be fairly easy, and if you're using OS X (which you didn't make clear), the capability of building a 'Burn' Folder is built right into the OS. I think you wanted to burn items from various playlists onto the one CD (even though they might have been stored in different folders).
Best place to start would be to be in Library view in iTunes:
Now Ctrl-click on the Desktop and select 'New Burn Folder' This will create a special folder on the desktop with a yellow & black icon).
From Library view, use the (very quick) Search function to bring up the tracks you want (I would suggest searching by Artist, since you implied you wanted to burn songs from the same artist but across different albums).This would bring up all your titles by that artist regardless of album or folder. Select the tracks you want using Cmd-click.
Now drag the highlighted tracks into the Burn Folder, Ctrl-click again and select 'Burn Disc' (assuming of course you've inserted one!). Hope this helps.
Jx