MC can behave exactly the way you want, you just have to make sure a couple of things are set correctly. This issue is that MC will not normally play across "Groups" in a file list. But you can get around that easily. Roderick was on the right track, but didn't give you the full solution, so I would have to guess you are not Australian...
First, Options->General->Behavior->Double-click:
Replace Playing Now (all)Second, Right-click on your Artists view, select Customize View, and ensure "Always Show Files" is checked.
Now go to your artist view, and look at the menu in the top left corner of the bottom pane, the list of files. It will look like this:
or it may say [Artist] Files if you've already clicked on an Artist in the view. In any case, hover your mouse over that little menu where it says All Files and a little menu will drop down. Select Group By-> None.
Now there are no groups in the list. Sort the list however you want (say by Artist then Album then Track), scroll to any track in the list you want, and double-click a track. MC will start playing there, and continue playing through every file in the list. You control how long that list is by what you have clicked on in the upper pane.
Got it?