The display method of covers is controlled by the gui_style option. It can be set in either config.txt or settings.cfg, with settings.cfg having priority. The easiest way to save it in settings.cfg is to choose your favourite gui_style with D-pad down, then go to the global options in Cfg (push 1 twice) and then push 2.
You can also use the Configurator to set the appropriate gui_style attribute within settings.cfg. The one you mention is 'carousel'.
And yes, you can change the sorting. The default sorting method is Title Sort, which ignores articles at the start of titles (i.e., 'A', 'An' and 'The'). Thus, 'The Legend of Zelda' is sorted in the 'L's. You can change which words are ignored with title sort via the sort_ignore option. Set 'sort_ignore=0' for a purely alphabetical sort.
You can also change the sort to different orders with the 'sort' option, the sorting feature on the main menu (push -) or by assigning a button to the 'sort' action. Available sorting methods are by title, number of players, number of online players, publisher, developer, release date, number of times you have played each game, the most recently played dates or by installation date. You can also choose whether these run in ascending or descending order.