Changing your player to Winamp is one solution. Playlists can then be sorted by Title, Filename or Path. You will be able to import your WMP Playlists. I used WMP for years. Changed to Winamp 6 months ago and find it is better suited to my requirements.
Stick with windows media player! You can sort out your play list! You go to the "Now Playing" window and just above the play list, you click on "Now Playing List" and go down the options. And hover over "Sort". You have the option 2 sort by Name, Artist, Album, Rating and File Name. Or that is all i have to do with the Windows Media Player 10.
Im sure that it will be exactly the same in older Windows Media PLayers. But i think on the older versions you click on the "Now Playing List" at the bottom of the play list.
I found Winamp to not be very good. It looks poo no matter what skin you put on it. It only played to 2 of the 4 of my speakers and i just generally dont like it.