You don't mention the version of Windows you are using, but, try the
following and see if it helps:
Alphabetize My Favorites
Click on the word Favorites on the *menu* bar and when a Favorite flies out,
right click on it and select "Sort by name." Do not use the Favorites with
the star on the Toolbar or in the Favorites side panel, it will not work.
You may also do it from Start>Favorites.