If you are creating mp3 compilations (data) then I think the only way to set your own order is to rename the files with a number at the front. Like this - 01-raveup.mp3
Below is pasted the explanation from the Nero site.
10. Why does the order of MP3 tracks change when I compile an MP3-CD? It always ends up in alphabetical order, and I am unable to change it.
First of all, there is big difference between an AudioCD and a MP3-CD. When you burn a Audio-CD all MP3s will be converted into CDA, so regular CD player will be able to read this CD (this is specified through the Red Book). An MP3 CD is really just a data CD as you are using the CDROM (ISO) standard. And every CDROM (ISO) has to be written within the specification of the Yellow Book for this format, otherwise it would not be readable on any system, or by any MP3 Player. This specification forces all tracks to be in alphabetical order. No exceptions. But there is an easy workaround. Set prefixes in front of the songs filenames which consist of numbers. For Example: 001_name.mp3 002_name.mp3 003_name.mp3
This way you can burn the MP3 audio files in the order you wish to play them in on your MP3 Player.
Ton is spot on. However, be aware that if you want whole albums to be in the correct order you need to create a folder with the title of the album, then rip your files with a numeric prefix. But of course you will have the alpha problem again. So if you want albums in a particular order give your album folder a numeric prefix as well.
I might be missing the point here but you can just drag and drop them into the order that you want. When you have compiled your list and its in the left hand pane just click on say track 1 and drag it between say track 3 and 4. Track 1 will then become track 3 and tracks 2 and 3 will move up to become tracks 1 and 2. It works for me anyhow.