If your available parameter values are being specified explicitly (using the "Specify values" option on the Available Values page of the Parameter Properties dialog, then you can set the order of the options explicitly by selecting an available value and using the Up and Down arrow buttons - as per this MSDN page:
The order of items you see in this list determines the order that the
user sees them in the drop-down list. To change the order of an item
in the list, click a Value or Label text box to select the item, and
then use the up and down arrow buttons to move the item higher or
lower in the list.
If your options are the result of a DataSet, then you can set the ordering in that DataSet's query with an ORDER BY
clause. If no ordering is specified on the DataSet, the values will be sorted alphabetically.