No one's replied in a year? That's unfortunate. Hope you worked it out before now, if not, here's an answer.
While seeing whether there was a component out there to do this now (and if I don't find one, I'll be making one soon that creates an admin interface to do it) I worked out how to do it in the database directly.
- In phpmyadmin go to your jos_components table.
- Filter for all items where 'parent' = 0 (so main component menu items)
- In the ordering field, put in a value for the order you would like the items to appear in
- Items with 0 in ordering appear first, so to move them to the end alphabetically, enter 99 in their ordering value.
- You should now refresh your admin page and you'll see the components menu is now in the new order.
Patrick Jackson