First read this:
http://www.danielmoth.com/Blog/2005/03/please-read-before-posting-to-ng.html
Daniel didn't number his points, so it's tough to reference, but number 13
applies.
He also should add to his list
Did you Google?
Quite often you're not the only person to come upon the behavior you're
seeing, and it's very likely that someone else has asked about it and
possible that their query was answered. Doing legwork yourself to see if
this is the case helps things run smoother and prevents people from
answering the same questions repeatedly.
So, those two aside, here's the answer:
Tab order is the Z-order of the controls, but was only implemented in a SP
version. It came in probably SP2 or SP3. Again, Google would tell you.
-Chris