When I want this I do not type the month names
Rather I enter the first day of the month (1/5/2008 for May or 5/1/2008 if
in USA) and format the cells either mmm (to get Jan, Feb...) or mmmm (to
get January, February....)
These values sort perfectly
best wishes
Helpful posting advice here... http://www.cpearson.com/excel/newposte.htm
To answer your question...
1. Make up a list of months on a worksheet.
2. Go to Tools | Options | Custom Lists and import and add.
3. When sorting you must specify the custom list - click the "options"
button in the Sort dialog box to do that.