Go to "My Link Order" under the Links menu and specify your desired order for your link categories and the links in each category
If you are using widgets then replace the standard "Links" widget with the "My Link Order" widget. That's it.
If you aren't using widgets, modify the sidebar template to use the correct filter (additional parameter seperated by ampersands):
wplistbookmarks('orderby=order&category_orderby=order');