Do you want to control the order the Outlook Address Books are listed in Show names from the picker? (Contact folders in OL2002/2003 are in alphabetical order, you can't change that.) Since they are listed in the order you added them, remove the address lists and add them back in the order you want them to appear.Open the Address book (Tools, Address book) and select its Tools, Options menu to open the Addressing options dialog. Remove some or all of the address lists and add them back.

You can also use this dialog to change the address list that is used first, choose the contacts folder for your personal addresses, rearrange the order autoresolve checks address lists.