First of all, please remove the movie name from your post to comply with forum rules.

Second, what you need to do is create a playlist. In LW, select the songs you want and click "enqueue". Once all of the songs you want to include are in the playlist, select "save as". Name your file. Next time you want to listen to your "album", select "open", and choose the playlist.

I can't help you with the Ipod, but look for instructions for creating a playlist.