The files are sorted according to the updated overlay drawing order.
Right-clicking a file will provide you with a context menu from where e.g. the file can be removed from Project Map. You can also choose to edit the display properties of the file.
PLEASE NOTE:
If the file is displayed in Project Map using a color scale you have the option to include the color legend to the map from the properties page.
See also Grid settings (p. 40).