Which media player are you using? You probably have it set to "shuffle".
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Shuffle just plays the songs out of order. You've got to first get them all playing together.
I assume you're using iTunes. Select all the songs together, then hit play. So, either hold down the Shift key, click the first and last song of the album with your mouse, the rest in between the first and last should all be highlighted. Then hit play. Or, select songs one by one with the Ctrl key, then play.