The answer is no.
As Gord Dibben posted, after you change the sequence you need to rename
using any system you want but the one he gave you is easy to use and is
free. If you do not rename after changing the sequence you will loose the
sequence when you close the folder and/or copy to CD.
The reason is simple. You can move thumbnails anywhere you want them but
when you close the folder there is no way for XP to remember the sequence,
it only remembers names of files and will list (or sort) them by
numerical/alphabetical order.
So after sequencing, close the folder and open the folder and here you are,
XP will sort the thumbnails by numerical/alphabetical order as originally
done, your sequencing order done by moving thumbnails will be lost. For your
sequencing order to remain you need to rename.