There doesn't seem to be a way that you can do it. The closest you can get is to create folders for all the artists or the album name and putting the song files in there (It can't be: [name of artist], [name of album], [MP3 files] - otherwise it will say you have no songs in that folder). It puts it in the order you want it, but it means you can't listen every song in order without having to keep exiting the artist's folder then moving to the next one to play all their songs.
The only other thing you can do is go into your music folder in your PSP and number all the song files so that they'll be in the right order, but that's extremely tedious and will take a lot of time to organise. So only do it if you're really that concerned about the order of your songs.
Btw, welcome to the forums.
