Curtis is correct that the default sort order is based on date and time. There's not a setting to adjust this, and it does not seem to be remembered by your last session. If you change the sort order then check out one of the other menu items, your order will be remembered when you come back to the Email section. However, if you change email folder views (Inbox to Junk Mail) the sort order is reset.
I can see the value in having a remembered sort order state. I'll change this thread from a Question to an Idea to facilitate tracking on that request. (I also changed the title of this thread to better reflect the proposed feature change, so it can catch the eye of other users interested in this functionality. It's been changed from "default sort order in SM web interface?" to "Remember Email Sort Order from Prior Session")