Robert, If I remember correctly, I saw something once on Armed Services Television that explained this. I don't remember it exactly, but it was something like this:

When the British set up their military ranks a long while ago, the rank we now know as a Lieutenant was originally known as a "Lieutenant Captain" (ie. assistant to the Captain). By the same principle, a "Lieutenant General" was the second highest rank. The term "Major General" was short for "Sergeant Major General", which was below the rank of a "Lieutenant General", but was shortened to "Major General". I hope this helps.