The freeware program Easy ISO by Dirk Paehl also allows you to create ISO image files with files physically ordered by the sequence you add them to your compilation rather than alphabetically. Thus, it also will let you create a CD-R full of MP3's that play in the order you want without renaming the files. It even includes built-in burning software so you can burn your image directly to the CD-R without invoking Nero (or your favorite burning software).
On the whole, though, the MP3BR Imager program Reg-da-Ripper recommended appears to be much easier to use and full-featured.
Take your choice: free and a little quirky, or $30 and easy to use with lots of nice features.
You can get Easy ISO at http://www.dpaehl.de/
. Click the "English Programs" button on the left, and scroll about half-way down the resulting page. (I'd rather not link directly).