http://www.theeldergeek.com/sort_menus_alphabetically.htm
Its another registry hack (I’m sure I’ve used a tool in the past to do this) but if you run it, Window’s will forget your start menu’s ordering. See this winguides.com link.
If you want this permanently, then follow the main link which shows that by restricting access to the registry key that controls the sorting, you will always have the menu sorted.
HKEY_CURRENT_USERSoftwareMicrosoftWindowsCurrentVersionExplorerMenuOrder