I can be wrong (my memory is hazy, since I haven't done this in a while).
When it asks you to choose the song to play, I believe that it automatically plays the grouping it is in. For example, I organize my music by album, and when I choose to play a song in Album B, then it will cycle through all the songs of Album B.
So when it asks you to choose a song, change the grouping of the songs until each individual song is all grouped together (based on your circumstances, I would group them as individual songs, so technically all the songs are grouped together all as individual tracks).
*and I believe the grouping button is done by pressing the Square button.
Sorry for my confusing explanation, but hope I helped :S