From the FrontPage menu:
produces this dialogue. (Click on thumbnails to see larger image in new window or Tab.)
To sort, set the View (View Button) to Details or Preview, then click on the appropriate Column heading. The Views button and the column heading for filename is indicated below.
Here the View has been set to Preview, which has the same columns as Details plus the Preview window.
Or use the same procedure in Windows Explorer:
The sort order set here usually carries over to the FrontPage and Expression Web file dialogues.