Files are shown in the chronological order they were moved to the SD card (within this order they are sorted alphabetically though). This is just the order they are read from the card, jEnesisDS doesn't sort or remember them. The .sav file doesn't store any information.
So if you wanted the files to be shown alphabetically sorted, when adding new ones, you'd have to delete the ones already there, and move them all together (including the new files) onto your card again.
I know this is not really convenient and will see if i can do something about it.
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