I think you are really mixing something up.
Order of the categories has nothing to do with sorting. There is only one way to determine the order of the categories. That is by drag-and-drop. By dragging and dropping you determined the category "*My Blogs" to be the first of the four categories.
That works perfectly as I can see on your screenshot, where you also show your blogroll. The category "*My Blogs" is the first one, followed by "Blogroll", "Pure Poker" and "Side Trips".
Reading your first posting of this thread, I understand that the order of the categories is exactly as you want it (correct me, if I am wrong).