This might work, its for 03/07:
* In Outlook 2007:
o Select Tools | Account Settings... from the menu.
o Go to the Address Books tab.
* In Outlook 2003:
o Select Tools | E-mail Accounts... from the menu in Outlook.
o Make sure View or change existing directories or address books is selected.
o Click Next >.
* Highlight the desired address book.
* Click Change....
* Select the desired sort order (First Last or File As) under Show names by.
* Click Close.
* Click Finish
Don't have a copy of 2k to test with, but can't be that different.