As far as I know, the music player only plays songs in alphanumeric order. One thing you could try is to rename the tracks as follows (including the ID3 tag) to get them to play by album and in the proper order:
[Album Name] - [Track Number] - [Song Name]
As mentioned by chainring, MP3Tag can do this for you. I've used the program and it does a very good job of tagging your MP3 files.
Due to the limited nature of the player and the impact it has on my reader's battery life, I prefer to use my audio player for listening to music. Not only is my audio player much more usable and feature rich than my ebook reader, but the battery life is much longer (more than 30 hours for audio).