The Desire Music App uses ID3 Tags to determine your track order, so I'm guessing your albums does not have the track # listed, so it defaults to alphabetical order based on their file names. To check this, use a Music tag editor like Tag & Rename on your PC (I use Media Monkey since it's compatible with my Cowon S9). Load up your album and see if the Track # column is used. If it's empty, then you will have to edit each song with the correct track number.
If your albums DOES have the track numbers, then I don't no why they aren't playing in the correct order unless you have it in shuffle mode order??
I use PowerAmp
rather than the default music player which is more like WinAmp (Incidentally WinAmp is now available for Android)
-- as it's a lot better -- you can edit the ID3 tags with it and even make the song you're listen as your default ring tone
By the way, since you said you are with 3 Network... which I am too --- do you have a My3 icon on your Desire so you can easily check your usage etc.? I don't, and I never noticed one before I rooted/flashed a custom ROM on it.