It depends if you mean the device lists or the commands under the activity menu.
You can't control which order the devices appear on the screen.
You can change the order that the activities appear on the screen.
AND best of all on the "custom commands" definition for a device or activity you can do pretty much what you want.
You can change the order the hard way - by entering them in the order you want. OR if you get the harmony plug-in for the firefox browser it gives you some handy up and down arrows to move things up and down on the custom commands screen.
a search on this forum will probably give you somewhere to download the plug-in.