This will be the default in v0.9.6. For v0.9.4 users, look in functions/f_global.php (showPicturesAsAlbum()) for

CODE
$statement = "SELECT cid, cname FROM {$config['table_prefix']}categories WHERE cshow=1 AND parent=-1";

and replace it with

CODE
$statement = "SELECT cid, cname FROM {$config['table_prefix']}categories WHERE cshow=1 AND parent=-1 ORDER BY cname ASC";