A join that uses ordered phyical records is more efficient than others? If i execute a join that uses ordered phyical records, it will be more efficient than a join that does not have the physycal records ordered? 
References are welcome.
Most database platforms have different algorithms when joining tables. How tables (or streams of data, really) are joined depends on a number of factors, including the number of rows, the ordering of the rows and the type of join (for instance, if it's a so-called "equi-join" or not).

Assuming the following example:

SELECT a.col1, a.col2, a.col3, b.col4, b.col5, b.col6
FROM table_a AS a
INNER JOIN table_b AS b ON a.x=b.x AND a.y=b.y;


If both table_a and table_b are indexed on the columns (x, y), a highly optimal strategy would be to join those two could be to merge those two datastreams (in SQL Server and other platforms known as a Merge Join). This is particularly true if you add ORDER BY a.x, a.y;, in which case you would want to maintain the ordering from the underlying table.

As a general answer: imagine if your query was two decks of cards in your hands. How would you join them? Would you lay them out in order and merge them (a merge join), perhaps go through one card at a time from one deck and look for matching cards in the other deck (a nested loop join), or maybe subdivide all the cards into 10-15 smaller heaps and join those (more like a hash join)? How would that strategy change if one or both of your decks was ordered or not?