It's already in a folder somewhere.
Pick any song's filename and use the Start button's search field to find out where it is on the hard drive.
Maybe I misunderstood you, type the song's extension (ex .mp3) into the search field then copy/paste everything into a new folder of your choice.
If your trying to separate songs by artist, just click on the "artist" category at the top of the folder and windows will separate by artist for you. Then you can highlight/copy/paste the songs into separate artist folders.