I take from your reply that there is a way to organize your music collection (I have thousands of pieces) in one library. If so, clue me on this.
This question could be answered with a rather long explanation. For right now, I'm just going to give a little basic answer that hopefully will push you in the right direction.
One of MC's "killer features" that's really not found in any other media player is "Media Views". Over in the left navigation pane, you'll see items like Audio, Video, etc. Inside Audio you'll see Albums, Artists, Panes, etc. All of these are Media Views.
Media Views can be customized in a LOT of ways. You can also build your own! I would suggest building several top level media views, probably inside of Audio, that group your collection in a way that makes sense to you. Maybe you'd like to just build 4 top level views to emulate the way you already organized it using independent libraries. So you'd build top level views of:
Jazz
Classical
Pop
Soul/R&B/Blues
For each of these views, you can set rules for what will be included, or excluded. I would expect that you could make Jazz use "Genre=Jazz" (and any other jazz related genres). Same thing for Classical. Pop would probably be the hardest, but still not that hard. You'd set up Pop so that "Genre is not equal to ..." and then list the genres that are NOT pop (jazz, classical, Soul, etc).
Each of these views will now only show those parts of your collection.
There's lots more detail that can be discussed about this. I'll leave it here for now. Try some experiments. If you have questions, ask and we'll try to help.
Good luck!
Brian.