Typically by default, Windows lists files in alphabetical order. However, if you select a range of files by clicking on one, holding the shift key and selecting the last in the range, you may notice that often the last file in the range will be listed first, followed by the rest of the files in the correct order. It looks like:
Not all apps do this, but many do.
The solution is to select the last file in the range first, hold the shift key, and then select the first file. In other words, select them in reverse order. Alternatively you could select the second file, hold the shift key and select the last file. Then hold the control key and select the first file, but that's a lot harder.
It's a stupid problem, but the solution is easy. Special thanks to Terry at TRH Software for the idea.