Open Internet Explorer. Click on Favorites in the menu bar (not the
toolbar). Right click anywhere within the column that appears and select
Sort By Name. Close IE. Now when you click on Favorites in the Start Menu
or click the Favorites button in the toolbar, the list will be
alphabetical. Rinse and repeat as needed.
I usually leave Favorites alone for a while so that I can go back and
review newly added items. After checking them out, I decide whether to keep
or delete and then alphabetize to meld them into the bigger list.