File systems tend to store files in alphabetical order - some insist upon it.
If you want to play then in a different order, change the name and put a number at the start (this is typically the track number).
Of course it's only going to be like how they are on your hdd. They don't play in any set order off there, except how you import them into your playing software.
MP3 players will typically parse the ID3 tags of the files and build a listing based on the artist, album name etc - so the order within the file system doesn't mean anything.