Some words are in Excel's custom lists, and appear at the top of the
pivot table when sorted. For example, an employee named May goes to the
top of the list because Excel assumes it's the month name, which appears
in one of the built-in custom lists.

When you create a pivot table, and Excel detects an entry from a custom
list, it uses that list as the sort order. So, May sorts to the top, and
the other items appear below, because they're not in the Months custom
list.

If that's the problem, you can manually sort the list, and May should
move to the correct position alphabetically. To manually sort the list,
select a cell in that field, and click the A-Z button the toolbar/

In Excel 2007, you have the option to turn off this setting.