As opposed to being put in a folder, you mean. About the only way to put files (songs are files) in a file would be a .rar or .zip file - and you can't play them until you take them out of those.
You put files into a folder using a file manager - just copy/paste/delete. (You could use move - but if that blows up in the middle, you might lose the file completely, so take the extra few seconds.)
The reason for all this is that if there were no media scan, every time you opened a media app - music player, photo viewer, video viewer, the app would have to scan the entire phone to look for files to run. this way, the media scanner builds a database of all files it finds, and each app just looks in the database. So your music player asks the database for music files and gets that list a lot faster than scanning the whole phone would take.