They're stored alphabetically in the filesystem: it's up to the player to sort them.
If you want to "manually" sort them then rename the files to 001-name.mp3 , 002-name.mp3 , 003-name.mp3 , etc and they should play in that order on pretty much anything.
By the way, you may want to use Advanced Input mode in ImgBurn, so that you can rename the files that will be burned to disc instead of renaming the originals.