Add sequential numbers to the filename

I would like to add sequential numbers to the filename of my tracks.

For instance: If the files are named 'Music1, Music2, Music3' I would like them to say '01. Music1, 02. Music2, 03. Music3'

I tried the auto-numbering wizard, but that seems to only affect the tag and not the actual filename

Is this possible?

Yes, this program is called MP3tag, so it mainly deals with tags. For filenames there are loads of file managers around.
If you still want to do it with Mp3tag, you have the choice of doing it in several ways:

If the track number is already correct, use the function Convert > Tag-Filename and enter as pattern:
$num(%track%,2) - %_filename%
If you only want to treat the filename but cannot use the track number:
$num(%_counter%,2) - %_filename%