Under Burn Disc ->Options, select CD File Naming. Then choose Custom. Enter the rule for the way you want the files named and check the box for Prefix the list order to the CD filename
After you've done that, click on Details to make sure the disk structure and order is the way you want it.
Another option, but I'm not 100% sure it works, is to Right Click the Playlist (in the tree) and select Send To->Drives and Devices->Burner. I think the sequence is kept. If so, this is easier than the above instructions.
EDIT: As Alex noted below, this shortcut option probably won't work, but using the "Prefix the list order" option should be fine.
