Mary, hope this helps...
To set up which folder you wish songs to be downloaded to...
Go to "Options"
Then "Kazaa K++ Options" (assuming you have this version),
Then click "Traffic" tab
Then click the button with "..."
From there you need to browse your computer to decide which folder you wish the music to be downloaded to
Then click "OK" and "Apply"
After that you could have folders devoted to artists, and manually put each mp3/wma file into each folder
Not sure about downloading whole albums, I don't know if there are zip files that are ready to download, and I don't know what those golden icons are (they might be whole albums.. haven't looked properly yet)