Check in the preferences, and set the box marked "sort on load".
You also have to remember that Winamp sorts by ID3 tag, and will only sort by the song path if you click "misc" > "sort" > "sort by path and filename".
Failing that, get yerself an ID3 tag editor.
P.S. ID3 tags suck, the ones ogg's uses are much better

But then ogg's are just much better anyway. Quite why anyone would still use mp3's on their computers I don't know.