I believe that this is because the previous ability to disable auto-arranged ha been abandoned in Windows 7 - have a read of this article and the links that show you how to do a registry fix that may reinstate this.
"So having them in alphabetical/numerical order wont actually help me"
It should, try it before you discount it. Rename the existing files inside the folder by adding a number and underscore in front of present name. Like this, 001_presentname.jpg (jpg or exe or whatever it is)
Difarn, i apologise, i should have explained that Im using Vista.
Fruitbat, Im using medium icons and have unticked 'auto arrange'.
lotvic, apologies, perhaps me explaining a bit more will help- i kept all the video folders on the right hand side of the screen and the audio on the right hand side of the screen and the 'downloading' files at the bottom.