Some apps allow for an additional folder mask on the auto create/move option. So it takes the first letter of the artist and puts it in a separate folder. ie, music\a\artist\album, music\b\artist\album, etc. Some of them are even smart enough to look for articles, like A, An, The, and even some foriegn ones like El, La, Das, etc. That way The Beatles, would be listed as music\b\The Beatles\album.
I have my collection sorted this way as well. With really large music collections some file systems like windows choke when all the artists are listed in one folder so it helps speed things up and makes it a bit easier to find ones music.
EDIT, sorry just re-read. You were asking about the last.fm, not the folder organization. My bad :oops: