If you want to add your previously collected MP3 files that necessarily may not have MP3 tags such as Album/Artist name, then Zune is notorious enough to not let you set album/artist name, and when you copy these files to your Zune, it keeps all of them in Unknown Artists category. In case you have hundreds of MP3 files then managing them will be next to impossible.
You can use MP3 tag editors to define album/artist name to avoid this. A better way is to use iTunes. In iTunes, select as many MP3 files you want to give album name, and right click on the selection. Click on Get Info.
A window named Multiple Item Information will appear where you can fill down Album name/Artist name / Genre and click OK to save. Then copy these MP3 files to your Zune in usual way. Now you will have album names/genre/artist in your Zune – easy to manage songs now!