This is a very good question, and I need to start a Game Frame FAQ that includes it.
The sequential playback mode is not alpha-numeric. (The SD spec doesn’t have any such sorting method, and the Arduino itself lacks the memory to handle it.) Instead, the files are played back in the order they were written to the SD card. More specifically, they are played back according to their index on the device, so actually if you delete some files and write new ones, they will likely be inserted into the previous deleted indexes.
If you have a particular order you want “sequential playback” to follow, the solution is to copy your folders (including /00system) to a folder on your computer, then format the microSD FAT32, and then copy the folders onto the microSD in the order you want them to appear. (You can copy 00system anytime, since it’s ignored by the playback function.)
Hope this makes sense! It’s a hassle, but part of life in Arduino land.
P.S. There are two other ways to link folder together, covered in this thread.