I typed the below answer but after reading the question again maybe its this simple.
In the folder you put the photos...click view > arrange Icons by > Name ...and also choose auto arrange

----------------------------------

I do not like using a album thing like Picasa, So I make a folder in My documents that I call Fluzzi because I use Panasonic cameras and in that folder I make another named by the date and put todays pics in there and tommorrows in the next folder.
The camera wizzard in XP can do that for you but I use a program by breezebrowzer called downloader pro which I had to buy but it does just what I want without an album running in the background.
http://www.breezesys.com/Downloader/
It takes a while to get it set to do what you want but once set it is really fast and simple.
A Program that sorts the photos the way I like is Kodak easyshare but it has the Album always running.