The only way to overcome the performance impact of sorting is to create an index specifically for the OVER clause. In his book Microsoft SQL Server 2012 High-Performance T-SQL Using Window Functions, Itzik Ben-Gan recommends the POC index. POC stands for (P)ARTITION BY, (O)RDER BY, and (c)overing. He recommends adding any columns used for filtering before the PARTITION BY and ORDER BY columns in the key. Then add any additional columns needed to create a covering index as included columns. Just like anything else, you will need to test to see how such an index impacts your query and overall workload. Of course, you cannot add an index for every query that you write, but if the performance of a particular query that uses a window function is important, you can try out this advice.
There are some good insights here.