Your categories display in the order you add them.  To change them to alphabetical you will need to do the following:

1. Go into your eBay Manage My Store and click on Shop Categories on the left-hand menu
2. On the right-hand of the screen you will see the option Reorder my Categories so click on that
3. Select the Alphabetical Order option at the top and click save
4. Because of an eBay glitch, it doesn't realise things have been changed so you will need to click the Reorder my categories link again.
5. This time click Manual Order, click on the first category you have listed and move it down one place and click save.
6. Go back into the Reorder my Categories link, select the category you just moved down and move it back up and save (this makes eBay realise things need to change). 
7. Go back into Reorder my Categories for the final time and set your categories to Alphabetical Order so any future categories will go in the right place.