Check out In OS X Lion, Finder will not "Arrange..." from Apple Support Communities.
You'll find how to solve that problem:
There seem to be a few glitches in the Arrange/sort model. You can
actually Arrange by and Sort By separately. You can get to the Sort
options by holding down the Option key while selecting the Arrangement
However, there aren't any sort options when you Arrange by
Name. And it doesn't change the sort by option when you switch to
Arrange by Name.
Try setting the Arrange by to None. Then, hold down
the option key and press the Arrange button. What is it sorted by?