A few comments, which I hope will be helpful:

• When you have multiple output files open at one time, and use "select FILEHANDLE" on one, then another, you're inviting confusion about where a given 'print $string' is really going.
• When your print statements are using the same string over and over (e.g. '<DOCTYPE>...'), it makes sense to assign that string to a variable, and use the variable in all those print statements.
• Try to write a brief, simple pseudo-code version of your app, and see if it leads you to compartmentalize things a little better (e.g. to put some portions of code into subroutines).

I don't know why you got the error that you reported (earlier comments about an open failure that you didn't check for are probably on the mark), but I would like to offer this pseudo-code summary as an example that arranges things a little differently and may suggest some ways to write the code more economically:

connect_to_db or die
prepare_query or die
open_master_page or die
print_master_page_header
$artist_page_open = "";
while ( query_returns_a_row ) {
   if ( $artist_page_open ne this_artist ) {
      if ( $artist_page_open ne "" ) {
         print_artist_page_trailer
         close_artist_page or die
      }
      open_artist_page or die
      print_artist_page_header
      $artist_page_open = this_artist
   }
   print_artist_page_row
   print_master_page_row
}
close_db
print_artist_page_trailer
print_master_page_trailer
[download]

I'm not saying everything should be a subroutine; but as you start to put details into the stubs and you find things that they have in common, it'll be easier to factor those common things into subs, so you only have to code each one once.