This might be because windows has the folder set up that it contains music files
Right click the folder the music is in, and go to Properties, now go to the Customise tab, and select that it is a Document folder from the first list instead of Music.
Hopefully now, it should set it right and should work
It might ask 'Do you want to set this for all the other sub folders'. Select yes to set it for all of them.
NOTE TO HELP:
If its music files its set to, you'l find windows will configure itself to allow you to play the files from there and such, and so the menu will be configured for that to with 'Set by Artist', etc
If its set to documents, the same windows menu will apply for data, and arranging by name, etc.
I hope this helps
Sorry I didn't see this thread before