It will sort correctly if you put the year before the month number:
   TheMonth: Format([Date Entered],"yyyymm")

A better solution would be to use 2 fields for the year and month, and sort
on that:
   TheYear: Year([Date Entered])
   TheMonth: Month([Date Entered])
These fields will then be numbers (instead of Text like the Format()
function generates), so you will be able to do more with them.

I have also suggested a name other than "Month", so that Access does not
misunderstand the name. (There is a function named Month, so Access can get
confused in a form if you have a field with that name in a form.)