The memory stick is basically just a data folder as far as your car stereo is concerned. When you put songs on it in a "certain order" on your PC, what's actually happening is that your PC operating system is applying some sort of sorting logic to the files. You can choose this logic by using the "sort by" function. So it could be track number, file name, album name, date added etc. Essentially though, the order and location of the files on the stick could be anything, the only thing that the sort by option changes is how the PC displays this information to you. So....
When it comes to your car stereo, unless there are settings on it to be able to sort the music files into a specific order, you're probably stuck. All it's going to do is recognise the music files on the stick and then play them according to it's own logic. Probably by file name, or by some other data descriptor that's embedded into each individual music track's properties.