Any language that can be recognized by a DFA (deterministic finite automaton) is regular. To prove that the language you described is regular, you simply have to prove that there exists a DFA that recognizes this particular language.
Remember that Σ is finite. If I understood the constraint of the language properly, one construction that works would have one starting state (accepting or non-accepting depending on whether you want to include ε in your language), one accepting state for each symbol in Σ and one rejecting state. The transition function should result in the state corresponding to the current input symbol if the current state is the starting state or corresponds to a "lesser" symbol, and to the rejecting state otherwise.
A shortcut is also available - each finite language is regular, and if I understood the constraint of the language you described properly, it is clearly finite (since Σ is finite). This trivially means that the language is also regular.