Sort order defaults are probably just bad.
You find the view customization under Tools -> Options -> Media Network -> Advanced -> Customize views for Gizmo & WebGizmo
You find the view you need to configure. For example Video\Seasons
Click "Set rules for file display.." Go to Modify Results and select "Sort by".
Click "Add..." and "A-Z", and find the library fields called "Season" and then add another called "Episode".
This will give you a list with:
Season (A-Z)
Episode (A-Z)
This means that it will sort on Season first, then the Episodes. Season is really not required here, as the view forces you to select TV Show and then Seasons. But for the View "Shows" for instance, this would be very useful. If it was not used here, you would have episode 1 from all seasons first in the list.
You can do a TON of things with views and library fields and custom expressions. I would recommend trying to create a few and play with it. It's pretty cool. Leaving out the watched stuff by filtering out the items with over 0 in the [Number Plays] tag is my favorite.