Files in any folder viewed "physically" by Windows Explorer will always by default be sequenced alphabetically by external file name. This includes placing MP3 files into a physical folder (e.g. album) on your hard drive, or burning that folder on a CD
This is entirely different than "logically" browsing the music files in that folder using a program like MP3Tag, and examining the internal tag field values.
Obviously both Windows Explorer and MP3Tag allow you to click on any column heading and sort the presentation sequence based on the values in that column, but the "physical" folder itself is going to appear in alphabetical sequence by external file name when you look at it.
So, if you want your tracks to appear (or play) in "track number" sequence (when viewed using Windows Explorer), your external file names must have the track number as a prefix to the song title value in that external file name. Whatever you have as the complete external file name, that will be the value used for the alphabetizing by Windows Explorer's view of things. Same with a media player program, which also examines the contents of your CD folder in alphabetical order by external file name.
Note that you can use MP3Tag to do a rename of the external file names, just as it can manipulate the internal tag field values. In fact if your music files all have tags, and all have track number tag fields filled in correctly, you can have MP3Tag do a mass-rename (of the external file names) to insert that track number as a prefix... if that's what you want to do.