Sorting pictures under Menu

I'm not sure if this is a problem or the way it is suppose to work.

The albums looks nice (600+ pics). I have organized so that you only see the filename and that is fine, too.

I wanted to go in and add an html link to each photo but find that the picture listing under the is in some order I don't understand. Is it suppose to be in some order. I've got another 1000 photo's to go and cannot go hunting for the next picture. Under the Main Setup, it is checked as File-Ascending.

Is there something I have missed?