First off, I believe in most jurisdictions, the prosecution goes last. I know in New Hampshire and Massachusetts, the prosecution goes first, then the defense, then the prosecution again. This is because the prosecution has the burden of proof here. As a defense attorney, all you have to do is raise a reasonable doubt. As a prosecutor, you have to convince beyond a reasonable doubt. Guess which is easier to do?
Technically, you can object during a closing, usually to the attorney saying something that isn't in evidence. But you usually don't. First off is a level of professional courtesy. It's just something you don't do. Further is the jury's reaction. Juries find objections at the best of times interruptions, and interrupting an attorney during their closing is just plain rude in the opinion of most jurors. You'd better win the damn objection or you're going to lose points.
Most attorneys keep a little chart in their heads of their win/loss on objections during a trial. Sometimes you have to piss off the judge and jury with numerous objections, even though you're losing the objections (you're building a record for appeal). But normally you want the objections going in your favor, convincing the judge and jury that you're only objecting when you're right. If the jury has confidence in your ability to tell them the truth, the more likely they are to believe your argument.
Best of luck,
Jim Clark-Dawe