what device are you using?
I found that on a Sony PSP my music did not play in the correct order, even if I imported if from my PS3 which did play it correcly ordered! It turned out that some metadata was missing that the PSP needs, while the PS3 must use some other method.
Anyway, if you look at your music on a PC you'll be able to see if it's got the track number stored, if not you can add it easily enough.
Sorry if this sounds a bit patronising, but my HTC Desire shows music in the right order so without knowing what device you have...
One other thing; is the shuffle option off?