What are you using to view the order?
My guess is that you can change the sort order to be A-Z or Z-A on the filename, date, or size.
The actual order that you download the pictures with doesn't really matter. The files are all uniquely named when acquired with your camera.
Once you have them on your PC you can use Windows Explorer to view the files in any order you want (name, date, size, etc.)
I have an HP digital camera (model 935)and use HP software to dowload the camera to my Compaq computer which runs on Windows XP. Sometimes, the download reshuffles the pictures and videos and sometimes it keeps them in the order they were taken. This is VERY inconvenient - does anybody know a sureway to download a memory card IN ORDER ??