Thumb drive's file order

Let's say I have ten files, like "episode 01.avi", "episode 02.avi", etc. If I open Windows Explorer, select the litany of files, and then copy them to the thumb drive, and stick the drive into my dvd player's thumb drive slot, the order of the files is random. Some files will be in alphabetical order, but then a few will not. Any idea why this happens? This must have something to do with how files are written (physically) onto the drive. The problem does not happen with DVDs containing similarly named files, so I'm not blaming the dvd player's software at this point.

I think when multiple files are copied that they are done based on size. If you copy them one at a time then does it show up correctly?