In ImgBurn (freeware software), you can specify the file list order, so this is worth a try. For this to work, you need to have or prepare a single source folder containing the full set of songs you plan burning:
[li]In ImgBurn, Click “Write files/folders to disc”
[/li][li]Go into Tools menu, into “Settings”, then into “Build” tab
[/li][li]Tick the option “Sort Files By Source List Order”, click ‘OK’
[/li][li]Drag the entire source MP3 folder into the ImgBurn ‘Source’ field.
[/li][li]Go to the Labels tab on the right and enter a label.
[/li][li]Insert a blank CD-R and click the ‘Build’ button.
Note that if you place two or more folders on the CD-R or select MP3s from multiple source folders, this will break the alphabetical order, at least in ImgBurn.