Ah I see what you mean... I've tried doing that before without luck. You can do a couple of things to see if they fall in the order you want, though it's more trouble than it's worth. Enable then disable the "group together" function. You can also kill all the explorer.exe you have open then reopen it and see if they come up in the order you want. But that's simply not worth the trouble.
Do a google search with "taskbar + window order"... there's apparently some application and tools that lets you do what you want.
I don't know if it's trustworthy or the credability, but you can start with this and see:
http://www.freewebs.com/nerdcave/taskbarshuffle.htm