Hey Rob, try the following:

Double-click on the field which has the drop-down, and then click on the button labelled "Advanced..."

Then in the "Autosort options" section on the left of the dialog that appears, select "Ascending". Also ensure that the "Using field" drop-down contains the name of the field whose contents you want sorting alphabetically.

Click OK to both dialogs and check the result.

cheers
Richard