Summary: Menu sort order is a bit of a Windows mystery. It's easy to set the sort order, but as it changes it's kept in an obscure registry location.
How does windows maintain the sort order in my menus?
The short answer? In the registry, of course.
The Start and Favorites menus typically have what I can best describe as a random order. It's not really related to how things are kept on disk, but rather the order in which things have been added to the menu.
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When a Start or Favorite menu (or any sub menu thereof) is displayed you can, of course, right click on it and select "Sort by Name" to get the menu items in alphabetical order. Or you can click-and drag individual items to move them around into the order you want.
So just where does Windows keep the display order?
The first part is actually easy. The order of items in the Start and Favorites menus are kept in a per-user registry key:
HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Explorer\MenuOrder
The problem is that the individual entries are somewhat complex and naturally undocumented. Here's one person's attempt at reverse-engineering, MenuOrder registry values, out at experts-exchange.
Since I haven't tried it I can't recommend it, but apparently deleting the MenuOrder registry key causes Windows to sort alphabetically by default. Windows also seems to continue to try to recreate the key, so deleting it is something you'd need to do each time you log in. Here's a tidbit on that: How can I automatically keep my Windows Start menu sorted? from JSI, Inc.
Remember that if you do end up making changes to your registry, back it up first!
Article C1837 - August 29, 2003