I'm not sure how to make it sort that way permanently, if it is even possible; especially since this is an external device whose settings seem to get lost after it is disconnected. If anyone else can find a way, I'd be interested to know how they did it.
However, another simple option is to first select the Details view at the top (instead of List), and then click on the Name column to sort ascending or descending, as you desire. You can then switch back to List view if that is what you desire, and it will retain the sort, at least for now. Not automatic, but you can get what you want in under a second with a couple clicks.
You can also do the same within a picture folder to see the latest pics listed first; sort them under Details view, then switch back to Large icons, Extra Large, etc.
I tested this on my local C:\DCIM folder, which I have as a backup copy of my phone's DCIM folder. I closed Windows Explorer completely, reopened it and went back to the C:\DCIM folder; it retained the "newest to oldest" sort. So, it will remember for some time, but I can't guarantee that it's permanent. For the phone DCIM folder, however, the sort was lost when I disconnected.