By default, the Media Gallery displays your albums chronologically in the order they were created (oldest first). To change the display order:
Click on the module "Options" link, and select "Gallery Options".
In the resulting pop-up window, click and drag the album thumbnails displayed to the order you would like (first being top-left, last being bottom-right). Hovering over the thumbnails will also reveal the album title, should you require this to identify the albums.
Once you have organised the display order the way you like it, click on the "Update Gallery" button to save your changes.