This is from Memorex FAQs:
Some programs put the track number as the first 2 characters of the song title (file name) this will cause the player to put the songs in the same order as the CD (or album for those of us old folks). If you drag files onto the MP3 players you can arrange them in any order you wish in the file view of your windows computer. When you go through the songs on the MP3 player, they will be in alphabetic order based on the file name (song title usually). You can't change the player's settings to play in anything but alphabetical order. There is a work around: People can force the play list order by naming the songs with a numeric prefix (i.e. 01, 02 etc) so the alphabetic listing in the player will put them in the order you prefer.