save image as won't stay sorted by name

i'm using windows xp.  when I right click and save an image, the directory isn't alphabetized.  For example I have 3 hard drives (C:,D: & E:) + 3 cd/dvd drives (F:,G: & H:).  If I were to save in my computer, they'd come out like
f
c
d
g
e
h
or some other funky setup, I want them and ALL folders organized.  It used to all be alphabetized, now its not.
Right clicking a blank area and selecting sort by name, only works for that one time.  As soon as I save another picture any folder I go into is unaphabetized again, even if I jut told it to sort by name just a minute ago.  What can I do?