Hi April,

IMO the best way (if not the only) is a simple macro. You will find it below.
It is for Outlook 2007. If you're using earlier version, replace the first line with:
 Dim oFolder As MAPIFolder

Sub FileAs()

    Dim oFolder As Folder
    Set oFolder = Session.PickFolder

    If oFolder Is Nothing Then Exit Sub

    For Each Item In oFolder.Items
        Dim oContact As ContactItem
        Set oContact = Item
        If Not oContact Is Nothing Then
            If oContact.FirstName = "" Then
                oContact.FileAs = oContact.LastName
            ElseIf oContact.LastName = "" Then
                oContact.FileAs = oContact.FirstName
            ElseIf oContact.LastName <> "" Then
                oContact.FileAs = oContact.FirstName & ", " & oContact.LastName
            End If
            oContact.Save
            Set oContact = Nothing
        End If

    Next

End Sub