You can set this by "View > Customize View" and then change the
setting for "Group By".
If you want full control, you can set up a "user defined field" and then
use it for grouping / sorting. Open "Tools > Options > Library & Folders"
and then "Manage Library Fields".
For example, I made a field called "Header_ArtistAlbums" with the
calculated data expression "[Artist] * [Date] * [Album]".
I then selected this field under "View > Customize View" for "Group By".
This gives me
B-52's * 1979 * The B-52's
B-52's * 1980 * Wild Planet
B-52's * 1982 * Mesopotamia
B-52's * 1983 * Whammy!
as group headers for my "Artist Album" view
As another example, I made a field called "Header_Classic" with the
calculated data expression "[Composer] * [Album]", this will give me
Brahms, Johannes * Symphonie Nr. 1
Brahms, Johannes * Symphonie Nr. 2
etc for my "Classic" view
"Sort Inside Groups By" is set to "Default".
Hope this makes sense...