Here is a .bat file for Windows which will rename all the samples to append the appropriate MIDI note number to the beginning of the file name.
Simply place the sample renamer batch file in its own directory along with the samples to be affected. Then run the batch file. Bear in mind that due to the limitations of .bat files, this may not work properly on long file names, resulting in duplicate prefixes (though the samples might still sort correctly, I'm not sure).
Warning: there is no "undo" for this .bat file, so run at your own risk. Be sure to back up the samples before running this batch renamer, and make sure you place the .bat file and the samples to operate on in their own directory.