Currently, if you allow the WDTV to get the content info for you, it will generate an xml file and the episodes will be labeled 1,2,3 etc... instead of 01,02,03 etc...
This causes them to be sorted 1,10,11...19,2 etc... which obviously is not desired.
WD has stated that this has been fixed in the next firmware which is expected soon (next week I hope?)
In the meantime you can also edit the xml file yourself or use a auto-text editor to fix them all in one shot as explained HERE by Tony.
After editing the xml's you need to "clear the library" from the settings menu which forces a re-build and re-orders your TV shows according to the newly edited xml files.