This is something that has had me scratching my head for some time, but I never bothered to figure out why.
Sometime when I play a song it will play that 1 and stop, exactly what the OP is asking how to do. Nothing else will play after that 1 song, even if its from a multi track cd. Other times it will play that song then go into the next song and continue to play until the end of the list.
There doesn't seem to be any rhyme or reason why it does this from 1 time to the next. I'm not making single song play lists, I'm not hitting repeat 1 or anything else that might cause this behavior.
What I do it select the artist I want from the library list, choose the cd I want, then select the 1 song I want. Sometimes it plays the next song from that cd, and other times it stops after the song I selected. Weird.