This week's book giveaway is in the OCPJP forum. We're giving away four copies of OCA/OCP Java SE 7 Programmer I & II Study Guide and have Kathy Sierra & Bert Bates on-line! See this thread for details.
In EJB 2.0 CMP, you specify the query in ejb-jar.xml using EJB-QL. There is no ORDER BY in EJB-QL (yet - it is coming in EJB 2.1). I know that Weblogic has an extention to EJB-QL that includes an ORDERBY keyword. Other appservers may do something similar, but I don't know. If the ordering is important, you are stuck with BMP. Or you could do the ordering on the client using an appropriate Comparator with the Collection returned by the finder. Ugh.