A playlist is just a reference for the player to tell it where to find the track. Copying the tracks to a cd using the playlist will leave all the files in their original folders as you have discovered. Better to copy the files to another folder on your hard drive, number the tracks in the order that you want them played, and then sort them by the numbering before burning the contents of the folder to a cd. This will then show and play the tracks in the order that you require as you have created a compilation disc instead. You can always delete the temporary folder from your hard drive after you have burnt the cd.