OK Warren - I think I get what you were trying to achieve now, which I didn't before, really! You're trying to drag the tracks you want to a burn folder in order to make a CD that has some kind of folder structure in itself (sorted by artist in this case)?.
OK that's fine, but just out of curiosity, what device are you playing the CD back on that would allow you to navigate through such a structure to select a track? If it's the Mac itself, then surely exactly the same result can be achieved by filtering the required artist from the search function in iTunes, without the need to burn media at all?
Jx