In the Contacts folder:
Change the View to "Details".
Right-click on the "Name" column heading, click on "First Name", then click
on "Last Name"
Click on the "Last Name" heading to sort by that, or click on "First Name"
heading to sort by that.

In a Create Mail window:
Click on To:
Click on the "Name" column heading... it cycles thru 4 different sorts

In the Contact Properties:
click on the down arrow at the end of the Full Name box