Ah, that's why it's important to specify such things such as MSN 9 which is
much different from IE 6 at least in form. I believe there is information
in the MSN help file about how to alphabetize the favorites. It's been
awhile since I had it installed, I was working on it when it was in beta,
but I seem to recall some sort of organize option that included the ability
to sort.
Open the MSN browser and check help on the toolbar or go to their online
help. It was in one of those that I discovered the option. I have no idea
why they made it so obscure.