Digital Photos, Photo Storage, Free Prints, Photo Albums

I do not understand how my photo digital frame selects the order of the photos to be displayed. It is not alphabetic, not the date. I would like the photos to appear in a given order of my choice, but when I add new photos the order is changed.
Any suggestions on how can obtain the photos to be played in the order of my choice, by following some rule in the way I store the Photos on the Compact Flash card which I use?.
Many thanks, this is needed for loading the Christmas present for my mother. Roberto Berardi from Italy

i do have some of digital photos now i wish to make a vcd of those photos , which can be easily on a vcd plyer or dvd player . pls guide me. photos are in jpeg format