Welcome to the Apple Discussions and the world of Macintosh. Are you burning an album from iPhoto via the Share->Burn Disc menu option? To get the files to be in the order you set them manually you'll have to batch rename them sequentially in the album so they will be in the correct order as the default sorting is alphanumeric. There is one caveat, you need to go in and add a zero before the 1 thru 9 files so they will sort correctly.
If you're burning a disc of the album files via the Share->Export->File export so you only get a disk of jpg files and no iPhoto organization you have two ways. The easiest is to select the Use Album name in the export phase. That will create file names that are "album name-01.jpg, -02.jpg", etc. It will automatically put the zeros in. Just name the album something short and sweet. The other way is by batch renaming the files and adding the zeros manually.
Hope this has been of some help. Good luck.
OT