Page 7-25 from the Owner Manual indicates that MP-3 files are in alphabetical order, but only in "Song Titles" view. This is if you have loaded the MP-3's onto a CD (or DVD???) and are playing them from the disc player. You can select by folder, playlist, track list, artist, album, genre, and song title. But unfortunately, Track is not listed in the HDD section.
Now, if you are using iTunes and loading from an Apple device there may be a solution. The manual indicates that the HDD can be played by "Playlists." Could you create a playlist and see if those remain in track order? (Others will have to comment about other software, since I have used iTunes for years.)
Another option is to use the iPhone or iPod as the player and skip the HDD, but that's not the cool solution you want.
Thanks for the heads up on the issue. You are saving us valuable time if we need to create those playlists.