First, if your player can handle a playlist, MC burns a playlist.m3u file in the root directory with the exact order of the tracks you see in the burn track listing.
Otherwise (without using playlist.m3u file), most players will play the folders in alpha order, then the files within them in alpha order. MC can get the files in your desired order by prefixing the playlist order number, but it can't automatically get your folders in the order your want them. But, you can manually rename the folders (select in the tree and press F2) so that the player will play them in your desired order.
For example, you have these folders to be burned:
1. "Warren Zevon"
2. "Bob Marley"
3. "Bob Dylan"
4. "Amadeus Mozart"
If you want them burned (and played) in the order above, you could rename the folders (using F2) like this:
1. "01 - Warren Zevon"
2. "02 - Bob Marley"
3. "03 - Bob Dylan"
4. "04 - Amadeus Mozart"