For an Audio CD, are you using Music Disc Creator? Or are you using the more simplified application from the main menu?
In Music Disc Creator, you can manually set the order by dragging the files up and down into the order you want. It won't reorder them when it burns them. If you drag several audio files in at once, it may initially order them alphabetically, but again, if you reorder them, they'll burn in that order.
For an MP3 CD, yes, that's normal behavior, because Windows orders the files (not tracks in this case) in alphabetical order. An MP3 CD is simply a Data CD with .MP3 files on it. To keep them in the order you want, you need to prefix the files so they'll stay in the order you want, usually with 2 or 3 numbers, as in:
Somewhere, there's an option to tell it that you want to keep a particular order, and in that case the program automatically prefixes the files with a numeric prefix.
Hopefully that helps?