How to transfer files in sorted order to mp4 player (ICE from Latte

I bought mp4 player Latter Ice. The player is veeeeeryyyyy slow -
transfering 1gb take about 1/2 hour, but I can live with it. What
bothers me - files on ICE are not played in alphabetic order. I don't
mind to listen to songs randomly, but recently I copied to this mp4
player lessons, numbered 001-lesson, 002-lesson etc - and this is a
big problem.
Here are my questions:
1. Is there a way to copy files in a such way that mp4 player will
play it is alphabetic order?
2. Which mp3/mp4 players allow to create a playlist?

Thanks,

Zalek