This is just a quick tip - I use mp3 players mostly for listening to audio books. So when I rip the CDs, I take extra care to create properly named files. But recently I found out that the new mp3 player I got (Great product BTW to listen to mp3 files in your car FM radio; how can they pack so many features at such a low price?) was mangling the file sequence.
On investigation, I found that DOS sorts file names by creation date/time by default. To fix this problem, all you need to do is cut and paste all the files to a different directory. This probably resets the creation time to current time and the files are then sorted by the filename.