This article is from the CD-Recordable FAQ, by Andy McFadden (email@example.com) with numerous contributions by others.
Generally speaking, you don't. The ISO-9660 specification requires that the
files appear in sorted order. Modern operating systems will sort the files
for you anyway, so changing the file order won't usually do much for you.
Packet-written (UDF) discs behave differently.
One situation where sorting does matter is when creating an "MP3 CD", i.e.
a CD-ROM filled with MP3 files that will be played by a CD or DVD player.
Getting the songs in the order you want is usually accomplished by
prepending digits to the front of the name, e.g. "001" for the first song,
"002" for the next, and so on.
It is possible, if you don't mind creating discs that violate the standard,
to specify a sorting order without modifying the file name. MP3BR Imager,
from http://www.mp3br.com/, can do this for you. Just make sure you test the
discs for compatibility with your equipment before you get too carried away.