(Apologies for the delay, I'm only just catching up on some old posts. Maybe this helps.)
Preventing it, no. Getting the order you want, yes.
You can right click on the resultant pivot table entry and manually set the sort order (of individual entries). This will be no fun if you have thousands of entries.
You can select the pivot table field and do a normal sort on it - via data, sort. If you want a custom sort order, create that via Tools, Options, Custom Lists. So, to create your custom sort, you could have a list of possible results 092005, 102005, 112005, 122005, 012006 & 022006 in the order you want. Or, if in a different order, have a formula that allows you to sort on the results of the formula to get the order you want. Then put that new list as a custom sort order. You can do this via VBA if you want (Application.CustomList or similar) but I recollect it is best avoided.
HTH,
Fazza