Word Press Frustration

[JenC]

One thing I don't like about Word Press and I haven't been able to figure out how to fix is that the categories won't display in alphabetical order.

So if I have these categories already made:
apples
grapes
oranges
pears

And I want to add, say "blueberries". Instead of putting it between apples and oranges, it puts it at the bottom of the list.

Anyone know how to fix this?