Use the data source with a catalog (or in XP and later it is called
directory) type mail merge in the main document of which you insert the
merge fields in the desired order into individual cells in a one row table.
When you execute that merge to a new document, that document will contain a
table with a row of data for each record in the data source.  Insert a row
at the top of the table and into the cells of that row, insert the names of
the mergefields.  Then, save and use that document as the data source.

Word will always resequence certain column names (basically, "Address" type
field names that it recognises, such as City, Firstname etc.) in the Edit
Recipients dialog. As far as I know there is no way to force Word to keep
your sequence except to avoid using those names. In many cases you could for
example put a "_" (underscore) at the beginning of the name, and Word will
/probably/ retain your sequence. If that doesn't work and Word sequences in
alphabetic order you would need to do something like put "01" at the
beginning of the column name you want o appear first, "02" at the beginning
of the next one, and so on.