Ahhh...
You are using a Sony PRS-300, the same as I am. I can confirm itimpi's post; if I look at collections I see series, and if I look at a series I see the books in series order, not title order.
Check:
1) that you are running the latest version of calibre, 0.7.27
2) that you have put something into the series column
3) that the numbers in the series column are correct
If all of these are true, and you are not seeing series-based collections on your 300, then we have some more trouble-shooting to do.
BTW: If you use calibre to manage your collections on your 300, you might want to turn automatic metadata management on. When on, calibre will update the metadata (series, title, etc) in the Sony's database whenever you connect the device. On the other hand, it will delete any hand-added (or Sony Reader SW-added) collections. To turn this on, go to preferences -> sending books to devices, and change metadata management.
BTW 2: I use a plugboard to add the series information to the title when I send a book to my sony. That way I can see that information when browsing by title. I prefer the information to be at the end of the title, but many people prefer it to be at the beginning. For some ideas, look at the first post in
this thread.