Your designation applies to the Contacts Folder.
Now set the Outlook Address Book to sort the way you want.
I will have to guess your version.
Go to Tools > E-mail accounts > View or change existing directories or
address books > Outlook Address Book > Change. > Set your sort order there

Signature
Russ Valentine
[MVP-Outlook]
> In Outlook, I have selected that the contacts be filed and displayed as
> last,
> first. When I am composing a new email and select "To" the names are filed
> first, last. Outlook is enabled as an email address book. How do I get
> the
> address book and Outlook Contacts to use the same display command?