After you use "Auto Arrange" to arrange the icons on your desktop, you may notice that your "My Documents" icon comes before your "My Computer" icon on your desktop.
To work around this issue, remove the Auto Arrange check mark, and then arrange your icons manually. This behavior is by design.
This information is also available in the Microsoft Knowledge Base. If you would like to view this information on-line, click link to view: Icons on Desktop Not Arranged in Alphabetical Order
Q246668.