Do you mean the Start Menu you see as soon as you tap the orb or do you mean the list under All Programs?
Start Menu:
If you right click on the ORB and choose properties, then Start Menu Tab. There are two check-boxes, one to store recently opened programs in the Start menu and the other to store recently opened items; unselect whatever you don't want.
Then click the Customize button and check the box beside Enable context menus and dragging and dropping; now you can sort this menu simply by dragging and dropping.
Under All programs:
If you right click on the ORB and choose properties, then Start Menu Tab, customize there is an option near the bottom Sort All Programs by name. I can tell you that even though I do NOT check that box the system will periodically sort the menu alphabetically even though I don't want it to. So the old XP option of sorting the list any way you want it with just drag and drop is essentially gone under here. But if you do want it sorted alphabetically then you may as well check that box.