Photoshop finds all the available profiles (probably including those in its own reference folder, but I can't check the Windows details right now) and groups them by type (e.g. RGB, CMYK, Greyscale). Within each of those it sorts them by name.
So to move your favourite profiles to the top of the list you'll have to rename them. Putting '_' at the beginning of the name is an ugly start: you'll get the idea. Note that changing the names of profiles can make things confusing if you have those profiles also embedded in images using the old names, and can break Photoshop Actions, Lightroom Presets, etc. Changing the names of profiles referred to by printer drivers is especially fraught with complications.
However, note that the name of the file that the profile is stored in is NOT the name of the profile. That's in the "desc" tag within the ICC profile (sometimes in multiple languages). OS X's included ColorSync Utility lets you change this. Microsoft's Colour Control Panel Applet (for XP) also did this. I'm not sure what the included options are for whatever Windows version you're running: you may need to download other software to edit the profile tags.