Are you trying to rearrange the order of the actions in your project? If that's the case, you want to select the actions you wish to sort, then choose Edit->Sort->(your sort key). That permanently rearranges them, just as if you had dragged each one into the proper place.
If, on the other hand, you merely want to reorder the display without changing the underlying order, you can use the View Bar settings. One thing to note with the view bar is that in Project or Planning mode, it sorts on a project-by-project basis, and in Context mode, it sorts on an action-by-action basis. So, if you want to look at all of your actions and see which ones are due first, or added most recently, or something like that, you would go to Context mode and apply those settings to the view bar's Group and Sort controls.