The Outlook Address Book never permitted sorting within the Address Book
interface. Only the Windows Address Book does.
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]
> How can I change the sort order in the Address Book in
> Outlook 2002? When I go to View on the menu, all I get
> is Toolbar. Older versions of Outlook let me change the
> sort order of the Address book. Contacts list is fine
> sorted by last name.