DIR won't return files in alphabetical order. You can try filesystemobject:
Code:
Sub ScratchMacro()
'A basic Word macro coded by Greg Maxey
Dim oFSO As FileSystemObject
Dim oFolder As Folder
Dim oFile As File
Set oFSO = New FileSystemObject
Set oFolder = oFSO.GetFolder("Your folder path")
For Each oFile In oFolder.Files
Debug.Print oFile.Name
Next oFile
End Sub