This is how i handle it now:
All shows are in a Music\U2\Live\TOURNAME\ folder
Artist = U2
Date = date of show in year-month-date format
Album = Just a fancy name like 'Turn On Your Radios Sheffield'
Also i have 2 custom fields
Location = Amsterdam, Milan, etc
Tour = 2009-2010 - U2 360 Tour
I am currently developing a program to search U2 shows on your computer and create a report on which shows you have and miss. Of course i will share this program with all of you when its done

So how are you keeping your u2 shows organized ?