I had this exact need of yours in around 2007 to 2008. The only way I was able to get the files to be printed in order was to use a program. I just looked up that program again, installed it, and used it and it does print the files in order.
The program is called Print Conductor, which you may find here: http://www.print-conductor.com/ Once there, click on the download tab at the top and then on the link below. The program is 100% free.
Once you have installed the program, open it, drag the files you wish to print into it, click on the file name header to get them sorted in order, and then click the Start button in the bottom right.
That's it!
Have fun with it.