A family of Microsoft word processing software products for creating web, email, and print documents.
Funny, I don't remember every being able to do that in Explorer. The only place I've seen that done is in the Start menu.
In explorer, I use a work-around to beat Windows into submission. I add a prefix to my file names that forces the sort order i want, ie
bk01 ch01 ldjflsjfsljf.doc
bk01 ch02 sldkjfa;lkjfd,doc
bk01 ch03 sdflkjslkj.doc
bk02 ch01.....
bk02 ch02 ...
bk03 ch05 ...