Outlook hasn't used a PAB in years.
The correct answer depends on your Outlook version which you failed to post.
Depending on your version and mail support mode of Outlook, you can sort the
Outlook Address Book this way:
98/2000 in Corporate/Workgroup mode:
Tools menu > Services > Highlight the Outlook Address Book service > Click
Properties > Set sort order
98/2000 Internet Mail Only:
Tools menu > Address Book > View menu > Sort by
Outlook 2002/2003:
Go to Tools > E-mail accounts > View or change existing directories or
address books > Outlook Address Book > Change. > Set your sort order there
Note that your options are only to sort by "First, Last" or by "File As." So
if you want your Outlook Address Book to sort by "Last, First," or by
"Company" you must have your Contacts' File As fields configured that way.