Ordering tests is generally considered to be a bad idea because it implies that the tests are not independent. Non-independent tests can cause multiple test failures (for instance if you have several tests that rely on shared state set up by another test, if any test along the way fails to clean up then the successive ones are compromised), and it can be hard to work out what went wrong. The ideal is that one problem should cause one test failure.
Anyway, I had thought because of the foregoing JUnit wouldn't support this but apparently it does, see this answer. (+1 for the other answers that pointed this out.) One easy alternative to making your own MethodSorter would be to use an existing one, NAME_ASCENDING, and change the method name of the one you want to go first so it will sort highest.
BTW this feature isn't totally an abomination; for instance, if you're in a situation where you suspect that a dependency slipped in, it's good to have a way to tweak the order of the tests to figure out what's going on.
Also there's a @BeforeClass
annotation if you have something you want executed before any test is executed.