best advice is to copy videos one by one IN THE ORDER you want it to appear. i can say for sure that if you do this, assuming the videos are recognized by the 3DS (some videos don't show up, dunno why), the videos will appear in the order you want them to. it's a hassle, but there's no real workaround for it yet.
you can also select a buncha files (best way is to use list view or details view instead of the icons and sort them alphabetically), and then Rclick the FIRST FILE IN THE SERIES, not anywhere in the selection. this will ensure that the OS copies the files IN ORDER -- confirm it by watching closely if the copy dialog is copying them in order. you'll know you did it right when you confirm the order of the thumbnails on the 3DS with the order of the thumbnails on your PC. but sometimes, they take different frames for thumbnails, i think Windows uses a frame that's a few seconds into the movie, while the 3DS uses the very first frame. this can make comparison confusing.