If you are using Windows Live Messenger 2009 [The brand new one]
Go to the main contact list and click the picture to the left of the options button at the top, it has 2 little boxes on it. Once on this option screen scroll down to sort by and choose "Status".
BTW. Welcome to the forums
, this is a Messenger issue on a Messenger Plus! Live one, so should of been posted here.
EDIT: Thanks mod for moving!