Burning tv shows .avi to dvds as data- NEED HELP

Hi i have a question regarding burning tv show episodes as AVI files on a data disk using windows media player.
The thing is, i have all the episodes numbered in order with the exact info on each tittle so when i drag them to windows media player and burn, i play the dvd on my divx/dvd player and the episodes are all scattered. There not in order from 1-8 for example.
Any suggestions how i can fix this or maybe another program that can put them in order from first to last (1-8).