With DockWare Pro 2.0, you can change the picture order using the Display Options menu pick. DockWare Pro is a free upgrade for all registered users of DockWare Pro 1.0.

If you're using the free version of DockWare, you can change the order of the pictures by deleting files then re-adding them in the order you want them to display. (Remember that there is not a Recycle Bin on your Pocket PC, so don't delete any files until you've made a backup of them somewhere.)