It is possible. It's actually called albumwrap. It like zips the entire album together but it can actually be played as a single mp3. In order to unwrap it into individual tracks you'll need the unwrap which is free (the other is shareware.) Do a google for albumwrap.
You should be warned, when you unwrap the album it will no longer have the individual track names. You'lll need to find those out for yourself. Also, apparently some files are called albumwrap but they weren't wrapped by albumwrap at all but by some other program, perhaps an audio editor. So those odd ones you wouldn't be able to unwrap.