Think the only available options are Date - Sort messages by date From - alphabetically by sender Subject - Sort messages alphabetically by subject Conversation - Sort messages by date
I know this is an old thread but this may help someone else searching for a solution.
After spending ages trying to sort my Windows Live Mail sub-folders alphabetically I've finally found a way. If you delete a folder that's out of order, then drag it from the Deleted folder to the original folder it reappears in alphabetical order!