Artist, Album, Genre are all labels. Not folders. The Clip finds those labels in ID3 tags.
But if you click down Artist, Album, etc. you will see Folders. You can play the folder in the order of the track names.
Play All probably goes into Music and, I think, plays through each Album in alphabetical order by album title.
Or you can fix the ID3 tags.
Get the free program mp3tag. http://www.mp3tag.de/en/
When you install it let it add itself to context menus (an option while installing).
After it installs, open it and go to Tools/Options/Tags/Mpeg and under Write choose ID3v2.3 and ISO-8859-1. (ISO-8859-1 is how Windows displays English language text.) Make sure those are saved.
Right-click on an album and look at the tags. Click on the Filename header to put them in order–since you did the filenames–and then fill in the other fields correctly. You can label the whole album at once by highlighting everything and putting Artist, Album, etc. in the box on the left.
MP3 tag also has other nifty functions. One is Tools/Autonumbering Wizard. Make sure the files are in playing order, top to bottom, and choose the Leading Zeroes option. If an album has more than 10 tracks and they are labeled, 1, 2, 3, etc., the Clip will play 1, 11, 12, 13, before 2. Maybe that’s what’s happening to you. Leading Zeroes fixes that.
Under Convert you can convert your filenames into tags. It’s pretty obvious how it works, each field is shown by %Artist%, etc. So in the Convert box you could type ZPA %Track% %Title% and it should ignore ZPA and fill in the other fields. That might be your easiest option, but mp3tag is very flexible and you should figure something out.
It’s best to take problem files off the Clip, fix them on the computer and send them back. You might also delete MTABLE.SYS from the Clip–that’s the database from the ID3 tags–and when you unplug it will make a fresh shiny new MTABLE.SYS from your new tags.
Going forward, it takes about 5 seconds to run the Auto-Numbering Wizard on each album before you add it to the Clip and it will avoid a lot of problems.