Do you mean in the Recipient List?
Just click on the Name header. It cycles thru 4 sorts ( first up, first
down, last up, last down).
If you mean in the Contacts folder, if you don't see a heading for Last
Name, right-click on the Names header, and select Last Name. This adds the
Last Name column. Now you can click on the Last Name column header to sort
up or down.