Do you mean the order of the columns or order of entries or both?
Either way not quite possible with the Database module as it just pulls all records from DB in their order and generate the columns in the order of the fields.
It should be possible with the Dataform soon. The CSV export has been refactored as a view type. So the order of the exported columns and their order is set in the template. The exported entries is set by the filter you assign to the display. The filter allows you to retrieve a selected subset of the entries and to sort them.
hth