ctrl+p > preferences > options > enable 'sort files on load'
this will sort the files by whatever is displayed in the playlist. you want filenames:
preferences > plugins > input > nullsoft mpeg audio decoder > title > uncheck 'use id3v1/v2 tags'
this works only if you add the the files in winamp with either the playlist menu, the main menu or the eject button on the main window
the files are sorted alphabetically by windows if you use the ntfs file system. you can only use ntfs on windows nt/2000/xp/2003
it's in the offitial bug list:
http://forums.winamp.com/showthread.php?threadid=51934