I think I have the same problem..
Some of my tracks are listed as having artist "The Rolling Stones", while others leave "The" out (both are alphabetically sorted under the R though). I'm using MediaMonkey.. both the artist and album artist fields are the same for all tracks, I haven't seen a band field anywhere. It works in MM and in explorer, but not on the player. Deleting and syncing doesn't help. So how did you solve this?
By the way, the player isn't the only one confused here.. what are they called officially?