Field based value lists are always sorted in ascending order. This is one of the more frustrating limitations of FileMaker and one that has been with us for far too long.
The simplest solution that comes to mind is to not use a value list, but to use a selection portal where you click a button in the portal row to select the value. Since you are now using a portal--possibly placed inside a popover, you can sort the rows of records anyway that you want.
You can also set up this portal so that it "filters down" keystroke by keystroke as you enter search data into a search field located above the portal.
Here's a demo file: https://www.dropbox.com/s/0pm1gdqcfi2ndpv/EnhancedValueSelection.fp7
It's in the older file format, so people using FileMaker 12 or newer will need to use Open from FileMaker's File menu to produce a copy of the file converted to the newer file format.
Thanks, Phil, gratifying to know that at least once, I didn't miss the necessary trick, although I agree frustrating for such a great and well thought out program.
Give you the best answer anyway.
Please note that I recommended the simplest option that I judged to be the most likely to work for you.
There are other options that can work in some cases, but their built in limitations make them much less universally applicable.
But here's another that might also serve that is simpler to set up than the search portal and still allows for a drop down list. It works by not using an ID number as part of the value list, only an associated name or description field, but then still links records by that ID number:
FileMaker 12 or newer users: https://dl.dropbox.com/u/78737945/SimpleNameLookupDemo.fmp12
Pre FileMaker 12 Users: https://dl.dropbox.com/u/78737945/SimpleNameLookupDemo.fp7