Specifically, the conclusions that a lot of people on forums seem to be coming to is that these players are playing tracks in the order that they were copied to the USB drive (I think that this is Create Date, based on prior experience with Create Date and Modified Date being nonintuitive for copied files). Here is my favorite link that goes over this ground:
http://www.hydrogenaudio.org/forums/index.php?showtopic=79667
There's a few people who think that the problem is in the File Allocation Table. This link explains it more clearly than anybody else:
http://www.techsupportalert.com/content/sort-files-alphabetically-usb-stick-or-mp3-player.htm
Some of the solutions involve using programs which reorder files and directories. Among these programs are something called "robocopy", something called "fatsort" (apparently this doesn't work on Vista and therefore probably not on W7), something called "Drivesort", something called "plgen" (this is apparently a playlist generator). This page provides links to all of these answers:
http://www.murraymoffatt.com/software-problem-0010.html
Other people have suggested just carefully recopying (robocopy is about this). Apparently, if you select a bunch of files, then drag and drop by the *first* file, they are copied in file name order which is usually how they are named with the track number preceeding.
Here are some links that were nice and referenced the player issue, but which didn't convey the problem well, even if they had a favorite solution:
http://www.techtangerine.com/2009/03/29/how-to-make-your-mp3-cd-play-in-the-order-you-want/
http://mp3.about.com/od/tutorials/ht/MP3-sorting-Tutorial.htm
