There's a good description of the sort options here:
Depending on what you're trying to do, it might as easy as specifying a manual sort order for the month names (right-click on the dimension > Field Properties > Sort). Or you could use a computed sort once the dimension is in the view.
Another approach is to create a "Display rank" calculated field measure with a formula. You can then add this to, for example, the rows shelf and hide the header, which will make Display rank "invisible" but allow you to sort by the value.