The media image that is the first in the list will be the image displayed. All you need to do is drag-n-drop the image you want to that position. There are also right and left arrows so you can select the image in the list and move it.
This actually does not do what you expect. If you were to do the right-click Make Active Media, it actually makes that media record the active record in the media list. So if you were to then go the media list view, the record you would be on would be that record.